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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2014-09-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | http://www.mdpi.com/2227-9091/2/4/411 |
| _version_ | 1811268581622546432 |
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| author | Alejandro Balbás Iván Blanco José Garrido |
| author_facet | Alejandro Balbás Iván Blanco José Garrido |
| author_sort | Alejandro Balbás |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-04-12T21:25:29Z |
| format | Article |
| id | doaj.art-38d09a2e6d5243aba5fbb88a6afa977c |
| institution | Directory Open Access Journal |
| issn | 2227-9091 |
| language | English |
| last_indexed | 2024-04-12T21:25:29Z |
| publishDate | 2014-09-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Risks |
| spelling | doaj.art-38d09a2e6d5243aba5fbb88a6afa977c2022-12-22T03:16:10ZengMDPI AGRisks2227-90912014-09-012441142410.3390/risks2040411risks2040411Measuring Risk When Expected Losses Are UnboundedAlejandro Balbás0Iván Blanco1José Garrido2University Carlos III of Madrid. C/ Madrid, 126. 28903 Getafe, Madrid, SpainUniversity Carlos III of Madrid. C/ Madrid, 126. 28903 Getafe, Madrid, SpainConcordia University. Department of Mathematics and Statistics. 1455 de Maisonneuve Blvd. W., Montreal, QC H3G 1M8, CanadaThis 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.http://www.mdpi.com/2227-9091/2/4/411heavy tailrisk measuresrepresentation theoremapplications |
| spellingShingle | Alejandro Balbás Iván Blanco José Garrido Measuring Risk When Expected Losses Are Unbounded Risks heavy tail risk measures representation theorem applications |
| title | Measuring Risk When Expected Losses Are Unbounded |
| title_full | Measuring Risk When Expected Losses Are Unbounded |
| title_fullStr | Measuring Risk When Expected Losses Are Unbounded |
| title_full_unstemmed | Measuring Risk When Expected Losses Are Unbounded |
| title_short | Measuring Risk When Expected Losses Are Unbounded |
| title_sort | measuring risk when expected losses are unbounded |
| topic | heavy tail risk measures representation theorem applications |
| url | http://www.mdpi.com/2227-9091/2/4/411 |
| work_keys_str_mv | AT alejandrobalbas measuringriskwhenexpectedlossesareunbounded AT ivanblanco measuringriskwhenexpectedlossesareunbounded AT josegarrido measuringriskwhenexpectedlossesareunbounded |