| dc.contributor.author | Wirch, Julia Lynn | en |
| dc.date.accessioned | 2006-08-22 14:27:07 (GMT) | |
| dc.date.available | 2006-08-22 14:27:07 (GMT) | |
| dc.date.issued | 1999 | en |
| dc.date.submitted | 1999 | en |
| dc.identifier.uri | http://hdl.handle.net/10012/1106 | |
| dc.description.abstract | 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. | en |
| dc.format | application/pdf | en |
| dc.format.extent | 1159137 bytes | |
| dc.format.mimetype | application/pdf | |
| dc.language.iso | en | en |
| dc.publisher | University of Waterloo | en |
| dc.rights | Copyright: 1999,
Wirch, Julia Lynn. All rights reserved. | en |
| dc.subject | Mathematics | en |
| dc.subject | Risk Measure | en |
| dc.subject | Capital Adequacy | en |
| dc.subject | Distorted Probability | en |
| dc.subject | Value at Risk | en |
| dc.subject | PH-Transform | en |
| dc.subject | Beta Distortion | en |
| dc.title | Coherent Beta Risk Measures for Capital Requirements | en |
| dc.type | Doctoral Thesis | en |
| dc.pending | false | en |
| uws-etd.degree.department | Statistics and Actuarial Science (Statistics) | en |
| uws-etd.degree | Doctor of Philosophy | en |
| uws.typeOfResource | Text | en |
| uws.peerReviewStatus | Unreviewed | en |
| uws.scholarLevel | Graduate | en |
