Measuring risk when expected losses are unbounded

Alejandro Balbás, Iván Blanco and José Garrido

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 de la Corte, Alejandro ; Blanco, Iván ; Garrido, José
Published in:	Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 2.2014, 4, p. 411-424
Subject:	heavy tail \| risk measures \| representation theorem \| applications \| Risiko \| Risk \| Risikomaß \| Risk measure \| Theorie \| Theory \| Messung \| Measurement \| Erwartungsbildung \| Expectation formation \| Risikomanagement \| Risk management

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.3390/risks2040411 [DOI] hdl:10419/167840 [Handle]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10010489103