Analytical Evaluation of Economic Risk Capital for Portfolios of Gamma Risks

Based on the notions of value-at-risk and expected shortfall, we consider two functionals, abbreviated VaR and RaC, which represent the economic risk capital of a risky business over some time period required to cover losses with a high probability. These functionals are consistent with the risk preferences of profit-seeking (and risk averse) decision makers and preserve the stochastic dominance order (and the stop-loss order)...

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Year of publication:	2001-05-01
Authors:	Hürlimann, Werner
Published in:	Casualty Actuarial Society - Astin Bulletin ASTIN BULLETIN ; Vol. 31 - No. 1 - 2001, 107-122
Publisher:	International Actuarial Association / Actuarial Studies in Non-Life Insurance
Subject:	Versicherungsbetriebslehre \| insurance management \| Value at Risk \| Versicherungswirtschaft

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Extent:	150528 bytes 16 p. application/pdf
Type of publication:	Article
Language:	English
Classification:	Management of insurance ; Insurance Industry ; Individual Articles ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005847093