Advanced Modeling and Optimization

Abstract for Paper 1 of Volume 6, Number 1, 2004, pp. 1-20


Progress in Risk Measurement

Siwei CHENG,
Yanhui LIU,
Shou-Yang WANG

Institute of Systems Science,
Academy of Mathematics and Systems Sciences,
Chinese Academy of Sciences,
Beijing 100080, People's Republic of China.

 



Abstract
In this paper, we give the axiomatic characterization of risk measures and discuss the treads of developments in this area. The main recently proposed risk measures are presented, and their properties and relations are discussed. The corresponding versions of dynamic risk measure are also briefly introduced.

Keywords: Risk Measurement