[PDF] Top 20 Dynamic capital allocation with distortion risk measures
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Dynamic capital allocation with distortion risk measures
... of risk management and regulation is the determi- nation of capital requirements for portfolios of risky positions, that is, the calculation of the ‘risk capital’ that has to be safely ... See full document
45
New Class of Distortion Risk Measures and Their Tail Asymptotics with Emphasis on VaR
... of distortion risk measures called GlueVaR risk measures, which can be expressed as a combination of VaR and TVaR measures at different probability ...these risk ... See full document
27
Capital allocation for portfolios with non-linear risk aggregation
... The risk capital is then determined by a risk measure evaluated at the aggregate ...the risk mea- sure typically used is positively homogeneous ...a distortion risk measure such ... See full document
33
Solvency capital, risk measures and comonotonicity: a review.
... A concave distortion function is necessarily continuous in (0, 1]. For convenience, we will always tacitly assume that a concave distortion function is also continuous at O. [r] ... See full document
37
A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
... measuring risk of a financial position was initiated in the seminal paper by Artzner et ...The measures of risk introduced in (Artzner et ...coherent risk measures, were meant to ... See full document
52
Risk measures and economic capital for (re)insurers
... of risk measures for determin- ing (re)insurers’ economic capital ...of risk measures are ...constructing risk measures via indifference arguments, representation results ... See full document
26
Economic capital allocation
... of risk measures from the internal models ...between risk measures, and practical data and forecasting issues, like the importance of ...solvency capital requirement is optimized under ... See full document
85
Optimal Portfolio Allocation based on two Novel Risk Measures and Genetic Algorithm
... suitable risk model are two important issues that must be addressed before the optimal portfolio ...the risk measures. In this regard, two new risk metrics are proposed using MLP neural ... See full document
19
Risk capital allocation and risk quantification in insurance companies
... portfolio risk) can be ...different allocation methods have been analyzed in a number of papers, for in- stance, Merton and Perold (1993); Tasche (1999); Overbeck (2000); Myers and Read (2001); Denault ... See full document
181
Challenges of capital allocation in one- and multi-period credit risk
... Credit risk typically is assessed in a one-period ...on dynamic credit risk models of discrete or continuous ...credit risk models segment in two types: structural models, which base on the ... See full document
105
Investment Risk Allocation and the Venture Capital Exit Market
... alternative measures used in prior studies to assess the strength of the exit market ...downside risk of investments in addition to accounting for both forms of VC ...(lower) risk taking by ... See full document
53
Quantitative risk assessment, aggregation functions and capital allocation problems
... VaR risk measures, a family belonging to the more general class of dis- tortion risk ...popular risk measures in both insurance and financial sectors and considers more than just one ... See full document
194
Essays on Dynamic Asset Allocation and Performance Measures
... stochastic opportunity set.. It takes into account the risk premium of the risky assets' returns adjusted by their covariance matrix. the concavity of the value fu[r] ... See full document
259
Allocation of risk capital based on iso-entropic coherent risk measure
... of allocation at confidence level a = ...The risk capital allocations are calculated under six allocation principles above mentioned, see Table ...of risk capital for each ... See full document
24
The equilibrium allocation of creative capital to R&D in a dynamic creative region
... relative risk aversion (CRRA) utility function. The extant creative capital was used to produce a final consumption good and to conduct ...creative capital that was allocated to the R&D ... See full document
7
On the interaction between insurance risk, market risk and capital allocation in the insurance sector
... insurance risk on external (market) risk and internal (capital allocation related) risk can be ...internal capital allocation and performance measures, but also ... See full document
7
Improved estimators of extreme Wang distortion risk measures for very heavy tailed distributions
... These measures are of great value in practice, especially in actuarial science: for instance, as mentioned in Dowd and Blake (2006), the Tail-Value-at-Risk would be used if one is interested in the average ... See full document
39
Optimal Reciprocal Reinsurance under GlueVaR Distortion Risk Measures
... the capital requirements in finance and insurance, however, it has two drawbacks in financial ...the capital requirements can be un- derestimated and the underestimated may be aggravated when heavy tail ... See full document
14
Risk Based Capital Allocation
... sub-additive risk measures, for instance. The standard deviation-based risk meas- ure (7), for instance, is globally sub-additive, the Value-at-Risk according to (8) is sub- additive as long ( ... See full document
24
Risk Measures and Capital Allocation Principles for Risk Management
... two risk measures and a new premium principle to price reinsurance ...two risk mea- sures is a risk measure satisfying the property of tail-subadditivity, and the other is derived based on the ... See full document
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