A Risk Measure Alternative to the Variance

Abstract
The qualifications of the semivariance as a useful risk measure are examined and compared to those of the variance. Although on first sight the semivariance may seem more appropriate from the insured's point of view the analysis of this paper leads to a preference for the variance as a risk measure.
Volume
9:1-2
Page
42-58
Year
1977
Categories
Actuarial Applications and Methodologies
Enterprise Risk Management
Processes
Analyzing/Quantifying Risks
Actuarial Applications and Methodologies
Enterprise Risk Management
Risk Categories
Business Areas
Reinsurance
Publications
ASTIN Bulletin
Authors
Baruch Berliner