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How to value risk
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DOI：10.1016/j.eswa.2011.11.006.png)
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Abstract
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We review various risk measures which have been introduced. By considering backward stochastic difference equations related to a single jump process, we define some risk measures related to the solutions. Some simple numerical examples are given. (C) 2011 Elsevier Ltd. All rights reserved.
Keywords:
Static risk measure
Dynamic risk measure
Single jump process
Backward stochastic difference equation
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