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Measuring Risk When Expected Losses are Unbounded

Balbás, Alejandro - 2015

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 …

Persistent link: https://www.econbiz.de/10013024274

When uncertainty decouples expected and unexpected losses

Juselius, Mikael; Tarashev, Nikola A. - 2022

Persistent link: https://www.econbiz.de/10012888255

Seismic Risk Identification based on the Expected Annualized Losses

Perju, Genoveva Elena - 2012

A new method for seismic risk identification is proposed based on the average measure of the expected annualized losses … from earthquake occurrence. We show can be identified the risk for insurance decisional purposes. The analysis is useful … for insured as well as for insurance company. When risk is considered from time dynamic perspective we emphasize the …

Persistent link: https://www.econbiz.de/10013109178

Advanced Risk Consulting Expected Loss Model (ARC ELM) : For Current Expected Credit Losses (CECL)

Lucey, Aaron - 2018

The ARC ELM is a top-down expected credit loss system that projects the intertemporal effects of both loan default cycles and macroeconomic conditions on credit losses for U.S. banks. The ARC ELM is based on an Ordinary Least Squares (OLS) time series analysis using historical loan loss and...

Persistent link: https://www.econbiz.de/10012928521

Risk sharing with lambda value at risk

Liu, Peng - In: Mathematics of operations research 50 (2025) 1, pp. 313-333

Persistent link: https://www.econbiz.de/10015211691

On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization

Chen, An; Stadje, Mitja; Zhang, Fangyuan - In: Insurance : mathematics and economics 117 (2024), pp. 114-129

Persistent link: https://www.econbiz.de/10015066953

Properties of a risk measure derived from the expected area in red

Loisel, Stéphane; Trufin, Julien - In: Insurance / Mathematics & economics 55 (2014), pp. 191-199

Persistent link: https://www.econbiz.de/10010366178

Measuring risk when expected losses are unbounded

Balbás de la Corte, Alejandro; Blanco, Iván; Garrido, … - In: Risks : open access journal 2 (2014) 4, pp. 411-424

Persistent link: https://www.econbiz.de/10010489103

Optimal risk-sharing under mutually singular beliefs

Tian, Dejian; Tian, Weidong - In: Mathematical social sciences 72 (2014), pp. 41-49

Persistent link: https://www.econbiz.de/10010500910

Collective risk-taking decisions with heterogeneous beliefs

Gollier, Christian - 2003

degree of pessimism of the representative agent is the mean of the individual ones weighted by their index of absolute risk …

Persistent link: https://www.econbiz.de/10011507677