Loisel, Stéphane; Trufin, Julien - HAL - 2014
This paper studies a new risk measure derived from the expected area in red introduced in Loisel (2005). Specifically …, we derive various properties of a risk measure defined as the smallest initial capital needed to ensure that the expected … of the expected areas in red of all lines, we determine the way(s) to allocate this risk limit to the subsequent business …