Coherent risk measures
Extremes for coherent risk measures
... a risk measure has been well-accepted by academics and practi- tioners for many decades, the mathematical formulation has become a major topic in mathematical finance literature for almost two ...of ...
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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 ...
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What Is a Good Risk Measure: Bridging the Gaps between Data, Coherent Risk Measures, and Insurance Risk Measures
... by coherent risk measures, such as the tail conditional ...extra risk” ([3], ...increase risk, particularly due to bankruptcy protections for each ...
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Central limit theorems for law-invariant coherent risk measures
... law-invariant coherent risk measures, leading to unnecessary strong assumptions on the underlying ...law-invariant coherent risk ...of coherent risk measures under ...
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Central limit theorems for law-invariant coherent risk measures
... law-invariant coherent risk measures from a time ...the risk measure to obtain its ...for coherent risk measures have been investigated in two recent works, namely in ...
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Bigger is not always safer: a critical analysis of the subadditivity assumption for coherent risk measures
... Hans Rau-Bredow Faculty of Business Management and Economics, University of Wuerzburg, Sanderring 2, D-97070 Wuerzburg, Germany; hans.rau-bredow@uni-wuerzburg.de Received: 25 June 2019; Accepted: 20 August 2019; ...
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Vector-valued Coherent Risk Measures
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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 countable ...
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Coherent risk measures, reserving, and transaction costs
... 1.1 Risk Risk has been a useful concept to mankind through the ...of risk has arguably contributed to society right from its inception, when neolithic hunter- gatherers turned to agriculture for a ...
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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 distortion by ...
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Portfolio risk diversification, coherent risk measures and risk mapping, risk contribution analysis and the setting of risk limits : a thesis presented in partial fulfillment of the requirements for the degree of Master of Business Studies in Finance at Massey University
... Appendix A3 - Dispersion reduction as a function of the number of positions for the Frechet random walk model and geometric Brownian motion model A3.01 Appendix B 1 - Aggr[r] ...
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Portfolio risk diversification, coherent risk measures and risk mapping, risk contribution analysis and the setting of risk limits : a thesis presented in partial fulfillment of the requirements for the degree of Master of Business Studies in Finance at Massey University
... F2.02 Difference between estimates based on aggregate portfolio and sum individual positions for companies with second highest market capitalization F2.0l F2.03 Difference [r] ...
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Entropy Coherent and Entropy Convex Measures of Risk
... between risk measurement under the theories of variational, homothetic and multiple priors preferences — ...and risk measurement using convex measures of risk — ...convex risk ...
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On Dynamic Coherent and Convex Risk Measures : Risk Optimal Behavior and Information Gains
... quantify risk was first mentioned in [Artzner et ...of coherent risk measures assessing risk of projects considered as real valued random ...to coherent risk ...
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COHERENT MEASURES OF RISK. DAVID HEATH Carnegie Mellon University, Pittsburgh
... at risk does not encourage and, indeed, sometimes prohibits diversi- fication because value at risk does not take into account the economic consequences of the events, the probabilities of which it ...FOR ...
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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 ...shortfall risk, we use the coherent ...
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An optimal three way stable and monotonic spectrum of bounds on quantiles: a spectrum of coherent measures of financial risk and economic inequality
... a risk measure – which, in the presence of the positive homogeneity, is equivalent to the convexity, as was pointed out earlier in this ...value-at- risk measure VaR p p X q is translation invariant, ...
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Testing for Mean-Coherent Regular Risk Spanning
... (1999), coherent risk measures received consider- able attention in the recent ...Indeed, coherent risk measures satisfy a set of properties desirable from the perspective of ...
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Natural risk measures
... Natural risk measures Hirbod Assa ∗† Abstract A coherent risk measure with a proper continuity condition cannot be de- fined on a large set of random ...of risk measures can ...
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Allocation of risk capital based on iso-entropic coherent risk measure
... The risk capital allocations are calculated under six allocation principles above mentioned, see Table ...of risk capital for each subportfolios are listed in ...of coherent risk ...
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