Journal of Probability and Statistics
Volume 2010 (2010), Article ID 357321, 19 pages
doi:10.1155/2010/357321
Research Article

On Some Layer-Based Risk Measures with Applications to Exponential Dispersion Models

Olga Furman1 and Edward Furman2

1Actuarial Research Center, University of Haifa, Haifa 31905, Israel
2Department of Mathematics and Statistics, York University, Toronto, ON, M3J 1P3, Canada

Received 13 October 2009; Revised 21 March 2010; Accepted 10 April 2010

Academic Editor: Johanna Nešlehová

Copyright © 2010 Olga Furman and Edward Furman. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Abstract

Layer-based counterparts of a number of well-known risk measures have been proposed and studied. Namely, some motivations and elementary properties have been discussed, and the analytic tractability has been demonstrated by developing closed-form expressions in the general framework of exponential dispersion models.