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:	2015
Authors:	Balbás, Alejandro
Other Persons:	Blanco, Iván (contributor) ; Garrido, José (contributor)
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Risiko \| Risk \| Erwartungsbildung \| Expectation formation \| Risikomanagement \| Risk management \| Messung \| Measurement

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Extent:	1 Online-Ressource (14 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Risks 2014, 2(4), 411-424 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 30, 2014 erstellt
Classification:	G22 - Insurance; Insurance Companies ; C60 - Mathematical Methods and Programming. General ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C44 - Statistical Decision Theory; Operations Research ; D81 - Criteria for Decision-Making under Risk and Uncertainty
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013024274