Coherent Beta Risk Measures for Capital Requirements
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This thesis compares insurance premium principles with current financial risk paradigms and uses distorted probabilities, a recent development in premium principle literature, to synthesize the current models for financial risk measures in banking and insurance. This work attempts to broaden the definition of value-at-risk beyond the percentile measures. Examples are used to show how the percentile measure fails to give consistent results, and how it can be manipulated. A new class of consistent risk measures is investigated.
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Julia Lynn Wirch (1999). Coherent Beta Risk Measures for Capital Requirements. UWSpace. http://hdl.handle.net/10012/1106