Measuring Risk When Expected Losses Are Unbounded

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...

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Bibliographic Details
Main Authors: Alejandro Balbás, Iván Blanco, José Garrido
Format: Article
Language:English
Published: MDPI AG 2014-09-01
Series:Risks
Subjects:
heavy tail
risk measures
representation theorem
applications
Online Access:http://www.mdpi.com/2227-9091/2/4/411

Internet

http://www.mdpi.com/2227-9091/2/4/411

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