Worst case risk measurement: Back to the future?

This paper studies the problem of finding best-possible upper bounds on a rich class of risk measures, expressible as integrals with respect to measures, under incomplete probabilistic information. Both univariate and multivariate risk measurement problems are considered. The extremal probability distributions, generating the worst case scenarios, are also identified.

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Year of publication:	2011
Authors:	Goovaerts, Marc J. ; Kaas, Rob ; Laeven, Roger J.A.
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 49.2011, 3, p. 380-392
Publisher:	Elsevier
Subject:	Risk measurement \| Generalized scenarios \| Worst case scenario \| Cones \| Linear programming \| Value-at-Risk \| Tail-Value-at-Risk \| Exponential premium

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Type of publication:	Article
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty ; G10 - General Financial Markets. General ; G20 - Financial Institutions and Services. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010572710