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We introduce the concepts of ϕ-complete mixability and ϕ-joint mixability and we investigate some necessary and sufficient conditions to the ϕ-mixability of a set of distribution functions for some supermodular functions ϕ. We give examples and numerical verifications which confirm our findings.
Persistent link: https://www.econbiz.de/10011263167
We give analytical bounds on the Value-at-Risk and on convex risk measures for a portfolio of random variables with fixed marginal distributions under an additional positive dependence structure. We show that assuming positive dependence information in our model leads to reduced dependence...
Persistent link: https://www.econbiz.de/10011263861
In the present contribution we characterize law determined convex risk measures that have convex level sets at the level of distributions. By relaxing the assumptions in Weber (2006), we show that these risk measures can be identified with a class of generalized shortfall risk measures. As a...
Persistent link: https://www.econbiz.de/10010942518
A distortion-type risk measure is constructed, which evaluates the risk of any uncertain position in the context of a portfolio that contains that position and a fixed background risk. The risk measure can also be used to assess the performance of individual risks within a portfolio, allowing...
Persistent link: https://www.econbiz.de/10005374532
Persistent link: https://www.econbiz.de/10005374615
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Convex risk measures were introduced by Deprez and Gerber [Deprez, O., Gerber, H.U., 1985. On convex principles of premium calculation. Insurance: Math. Econom. 4 (3), 179-189]. Here the problem of allocating risk capital to subportfolios is addressed, when convex risk measures are used. The...
Persistent link: https://www.econbiz.de/10004973686
We consider capital allocation in a hierarchical corporate structure where stakeholders at two organizational levels (e.g., board members vs line managers) may have conflicting objectives, preferences, and beliefs about risk. Capital allocation is considered as the solution to an optimization...
Persistent link: https://www.econbiz.de/10010776719
This paper develops a unifying framework for allocating the aggregate capital of a financial firm to its business units. The approach relies on an optimisation argument, requiring that the weighted sum of measures for the deviations of the business unit’s losses from their respective allocated...
Persistent link: https://www.econbiz.de/10005836634
It is shown that for elliptically distributed bivariate random vectors, the riskiness and dependence strength of random portfolios, in the sense of the univariate convex and bivariate concordance stochastic orders respectively, can be simply characterised in terms of the vector's [Sigma]-matrix.
Persistent link: https://www.econbiz.de/10005259345