# metadata.dc.description[].value
Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2014, Director: José Manuel Corcuera Valverde

# metadata.dc.description.abstract[].value
The purpose of this undergraduate thesis is to study and explain different kinds of risk
measures, in terms of their axiomatic definitions and of the economic theories of choice
that they can derive from.
The theory of choice under risk has historically been one of the recurrent problems
in the economy and financial world. It has been a challenge developing the necessary
mechanisms to allow the modeling of an economic agent behaviour, when it comes to
choosing amongst a number of options with uncertain future.
Within these models, the concept of risk always emerge, and each theory will analise and
measure it in its own way.
In the first part we will study different theories formulated throughout history,
particularly the expected utility theory (von Neuman and Morgenstern, 1947), the dual
theory of choice (Yaari, 1987) and the generalised expected utility theory (Quiggin, 1993),
which derives from the lesser ones. All that by explaining the motivations that led to their
development, as well as their main advantages and inconveniences (including important
paradoxes that contributed to the revision of the theories).
In the second part of the essay, we will explain the nature of risk measuring as well as
the different ways of approaching it depending on the theory of choice. Amongst them,
we will particularly make a point on that derived from the generalised expected utility
theory, which we will name distortion-exponential principle.

# metadata.dc.rights[].value
cc-by-nc-nd (c) Pablo Hernández Ramón, 2014

# metadata.dc.source[].value
Treballs Finals de Grau (TFG) - Matemàtiques