Measuring risk when expected losses are unbounded

This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those characterized by some Pareto distributions. Extensions of the conditional value at risk, the weighted conditional value at risk and other examples are given. Actuarial applications are analyzed, such as extensions of the expected value premium principle when expected losses are unbounded.

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Year of publication:	2014
Authors:	Balbás, Alejandro ; Blanco, Iván ; Garrido, José
Published in:	Risks. - Basel : MDPI, ISSN 2227-9091. - Vol. 2.2014, 4, p. 411-424
Publisher:	Basel : MDPI
Subject:	heavy tail \| risk measures \| representation theorem \| applications

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3390/risks2040411 [DOI] 819836826 [GVK] hdl:10419/167840 [Handle]
Source:	EconStor

Persistent link: https://www.econbiz.de/10011709511