A Determination of the Risk of Ruin: Comment
评论了Vinso提出的风险度量方法，指出其因使用Cornish-Fisher展开调整偏度而产生多重实根或虚根问题，且度量值常低估真实破产概率，仅适用于正漂移过程的企业。
The measures of risk proposed by Vinso are properly motivated with a concern for the dynamic nature of a firm's operations. The measures are subject to restrictions in application and interpretation, however. Some of these restrictions were caused by the choice of the Cornish-Fisher expansion to incorporate the adjustment for skewness and the resulting quadratic equation. The problems created by the existence of multiple real or imaginary roots to this equation are unresolved in the paper.Apart from these problems, the measures do not represent probabilities of ruin; they often significantly understate the true probability. We have shown that the measures related to εrp are applicable only to firms with positive-drift processes and argue that they should be evaluated in a multivariate context.