New risk measures for variance distortion and catastrophic financial risk measures
In recent years, expectation distortion risk measures have been widely used in financial and insurance applications due to their attractive properties. The author introduced two new classes of financial risk measures “VaR raised to the power of t” and “ES raised to the power of t” in his works and a...
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| Format: | Article |
| Language: | Russian |
| Published: |
Government of the Russian Federation, Financial University
2021-12-01
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| Series: | Финансы: теория и практика |
| Subjects: | |
| Online Access: | https://financetp.fa.ru/jour/article/view/1387 |
| _version_ | 1797878706021072896 |
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| author | V. B. Minasyan |
| author_facet | V. B. Minasyan |
| author_sort | V. B. Minasyan |
| collection | DOAJ |
| description | In recent years, expectation distortion risk measures have been widely used in financial and insurance applications due to their attractive properties. The author introduced two new classes of financial risk measures “VaR raised to the power of t” and “ES raised to the power of t” in his works and also investigated the issue of the belonging of these risk measures to the class of risk measures of expectation distortion, and described the corresponding distortion functions. The aim of this study is to introduce a new concept of variance distortion risk measures, which opens up a significant area for investigating the properties of these risk measures that may be useful in applications. The paper proposes a method of finding new variance distortion risk measures that can be used to acquire risk measures with special properties. As a result of the study, it was found that the class of risk measures of variance distortion includes risk measures that are in a certain way related to “VaR raised to the power of t” and “ES raised to the power of t” measures. The article describes the composite method for constructing new variance distortion functions and corresponding distortion risk measures. This method is used to build a large set of examples of variance distortion risk measures that can be used in assessing certain financial risks of a catastrophic nature. The author concludes that the study of the variance distortion risk measures introduced in this paper can be used both for the development of theoretical risk management methods and in the practice of business risk management in assessing unlikely risks of high catastrophe. |
| first_indexed | 2024-04-10T02:37:27Z |
| format | Article |
| id | doaj.art-fa20b819bef74361993880e0dcee0807 |
| institution | Directory Open Access Journal |
| issn | 2587-5671 2587-7089 |
| language | Russian |
| last_indexed | 2024-04-10T02:37:27Z |
| publishDate | 2021-12-01 |
| publisher | Government of the Russian Federation, Financial University |
| record_format | Article |
| series | Финансы: теория и практика |
| spelling | doaj.art-fa20b819bef74361993880e0dcee08072023-03-13T07:49:31ZrusGovernment of the Russian Federation, Financial UniversityФинансы: теория и практика2587-56712587-70892021-12-0125616518410.26794/2587-5671-2021-25-6-165-184890New risk measures for variance distortion and catastrophic financial risk measuresV. B. Minasyan0РАНХиГС при Президенте РФIn recent years, expectation distortion risk measures have been widely used in financial and insurance applications due to their attractive properties. The author introduced two new classes of financial risk measures “VaR raised to the power of t” and “ES raised to the power of t” in his works and also investigated the issue of the belonging of these risk measures to the class of risk measures of expectation distortion, and described the corresponding distortion functions. The aim of this study is to introduce a new concept of variance distortion risk measures, which opens up a significant area for investigating the properties of these risk measures that may be useful in applications. The paper proposes a method of finding new variance distortion risk measures that can be used to acquire risk measures with special properties. As a result of the study, it was found that the class of risk measures of variance distortion includes risk measures that are in a certain way related to “VaR raised to the power of t” and “ES raised to the power of t” measures. The article describes the composite method for constructing new variance distortion functions and corresponding distortion risk measures. This method is used to build a large set of examples of variance distortion risk measures that can be used in assessing certain financial risks of a catastrophic nature. The author concludes that the study of the variance distortion risk measures introduced in this paper can be used both for the development of theoretical risk management methods and in the practice of business risk management in assessing unlikely risks of high catastrophe.https://financetp.fa.ru/jour/article/view/1387катастрофические финансовые рискимеры риска искажения ожиданиямеры риска искажения дисперсиифункции искажениякомпозитный методкогерентные меры финансовых рисковмеры риска var в степени tмеры риска es в степени t |
| spellingShingle | V. B. Minasyan New risk measures for variance distortion and catastrophic financial risk measures Финансы: теория и практика катастрофические финансовые риски меры риска искажения ожидания меры риска искажения дисперсии функции искажения композитный метод когерентные меры финансовых рисков меры риска var в степени t меры риска es в степени t |
| title | New risk measures for variance distortion and catastrophic financial risk measures |
| title_full | New risk measures for variance distortion and catastrophic financial risk measures |
| title_fullStr | New risk measures for variance distortion and catastrophic financial risk measures |
| title_full_unstemmed | New risk measures for variance distortion and catastrophic financial risk measures |
| title_short | New risk measures for variance distortion and catastrophic financial risk measures |
| title_sort | new risk measures for variance distortion and catastrophic financial risk measures |
| topic | катастрофические финансовые риски меры риска искажения ожидания меры риска искажения дисперсии функции искажения композитный метод когерентные меры финансовых рисков меры риска var в степени t меры риска es в степени t |
| url | https://financetp.fa.ru/jour/article/view/1387 |
| work_keys_str_mv | AT vbminasyan newriskmeasuresforvariancedistortionandcatastrophicfinancialriskmeasures |