Are quantile risk measures suitable for risk-transfer decisions?

Although controversial from the theoretical point of view, quantile risk measures are widely used by institutions and regulators.

Year of publication:	2012
Authors:	Guerra, Manuel ; Centeno, M.L.
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 50.2012, 3, p. 446-461
Publisher:	Elsevier
Subject:	Coherent risk measures \| Conditional tail expectation \| Risk \| Risk measures \| Optimal reinsurance \| Quantile risk measures \| Truncated stop loss \| Value at Risk

Online Resource

More access options

Type of publication:	Article
Classification:	C00 - Mathematical and Quantitative Methods. General ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010572712