Coherent risk measure
A new approach of coherent risk-measure pricing
... the risk measure ρ t is based on the space L 0 and its dual representation is not used in the previous ...new risk measure defined on the space L ∞ under which the minimal super- hedging price ...
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Allocation of risk capital based on iso-entropic coherent risk measure
... a risk capital allocation problem. One is to quantify the risk of the portfolio and its subportfolios with a good risk measure ...the risk capital to each subportfolios ...good ...
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Efficient hedging with coherent risk measure
... fall risk as the expectation of the shortfall weighted by a loss function, and looked for strategies that minimize the shortfall risk under a capital ...to measure the shortfall risk, we use ...
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Can a coherent risk measure be too subadditive?.
... As we observed in the previous section, any theory that postulates that risk measures are sub additive should at least constraint this subadditivity, ensuring that [r] ...
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Short- And Long-Term Value-At-Risk, Skewness, Kurtosis and Coherent Risk Measure
... at Risk is an estimate, with a predefined confidence interval, of how much one can lose from holding a position over a set ...at Risk analytically for a ...in risk, a generic measure of ...
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The use of the Premium calculation principles in actuarial pricing based scenario in a coherent risk measure
... Calculation principles enable the development of the actuarial pricing process in the insurance sector both of life and of non-life. Among all principles assessed in this article we have chosen those verifying the ...
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What Is a Good Risk Measure: Bridging the Gaps between Data, Coherent Risk Measures, and Insurance Risk Measures
... based risk measures are the coherent risk measure, which as- sumes subadditivity for random variables, and the insurance risk measure, which assumes additivity for comonotonic ...
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Extremes for coherent risk measures
... the risk exposure of a financial or insurance firm/subsidiary/line of business due to the occurrence of some extreme ...the risk in adverse scenarios and are useful for signaling to a decision-maker the ...
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Coherent Risk Measures and Upper Previsions
... any coherent risk measure on D can be coherently extended to D 0 ...define coherent risk measures on structured sets of random numbers ...of risk measures are not sufficient to ...
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On representing claims for coherent risk measures
... a coherent risk measure to be represented by a market with proportional transaction ...any coherent risk measure is strongly time-consistent with respect to a suitably chosen ...
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Statistical Issues in Coherent Risk Management
... of coherent risk measure recently, so that it does not catch enough attention ...Thirdly, risk capital allocation meets the business needs of internal performance measurement, while ...
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Extreme conditional value at risk: a coherent scenario for risk management
... not coherent risk measure since it is not ...a coherent measure for risk mitigation and diversified portfolio ...downside risk during the recovery period, albeit to levels ...
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Extreme conditional value at risk: a coherent scenario for risk management
... not coherent risk measure since it is not ...a coherent measure for risk mitigation and diversified portfolio ...downside risk during the recovery period, albeit to levels ...
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Coherent Distortion Risk Measures in Portfolio Selection
... of risk measure known as the coherent distortion risk measure ...of risk measures: the coherent risk measure (CRM) [10] and the distortion risk ...
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Expected Shortfall: a natural coherent alternative to Value at Risk
... a coherent alternative to Value at Risk (VaR) for four ...by Coherent Measures of Risk [4], it was clear to risk practitioners and researchers that the gap between market practice and ...
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How Superadditive Can a Risk Measure Be?
... any risk measure can lead to superadditive risk assessments, implying the potential for penalizing portfolio ...extreme-aggregation risk measures. The extreme-aggregation measure ...
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Central limit theorems for law-invariant coherent risk measures
... law-invariant coherent risk measure on F X , which obviously concide with ρ on {F X | X ∈ L ∞ (Ω, F, ...both risk measures are even ...
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IMPLICIT LOADINGS IN LIFE INSURANCE RATEMAKING AND COHERENT RISK MEASURES
... ABSTRACT In this paper we study a premium calculation principle applied to life insurance based on a coherent risk measure called Proportional Hazard Transform. This is based on a probability ...
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Vector-valued Coherent Risk Measures
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Risk Measure Inference
... Stephan Smeekes Department of Quantitative Economics, Maastricht University, Netherlands Abstract We propose a bootstrap-based test of the null hypothesis of equality of two firms’ condi- tional Risk Measures ...
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