Entropy Coherent and Entropy Convex Measures of Risk - Eurandom
Entropy Coherent and Entropy Convex Measures of Risk - Eurandom
Entropy Coherent and Entropy Convex Measures of Risk - Eurandom
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2. Entropic <strong>Measures</strong> <strong>of</strong> <strong>Risk</strong> [1]<br />
We fix a probability space (Ω, F, P) <strong>and</strong> fix a scalar γ ∈ [0, ∞]. Let X ∈ L ∞ .<br />
Define<br />
eγ(X) := γ logEexp− X<br />
γ.<br />
◮ Entropic measures <strong>of</strong> risk (exponential premiums) emerge in various<br />
paradigms.<br />
<strong>Entropy</strong> <strong>Coherent</strong> <strong>and</strong> <strong>Entropy</strong> <strong>Convex</strong> <strong>Measures</strong> <strong>of</strong> <strong>Risk</strong> Advances in Financial Mathematics, Eur<strong>and</strong>om, Eindhoven 17/40