Wirch, Julia Lynn2006-08-222006-08-2219991999http://hdl.handle.net/10012/1106This 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.application/pdf1159137 bytesapplication/pdfenCopyright: 1999, Wirch, Julia Lynn. All rights reserved.MathematicsRisk MeasureCapital AdequacyDistorted ProbabilityValue at RiskPH-TransformBeta DistortionDoctoral Thesis