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Persistent link: https://www.econbiz.de/10011872915
We give analytical bounds on the Value-at-Risk and on convex risk measures for a portfolio of random variables with fixed marginal distributions under an additional positive dependence structure. We show that assuming positive dependence information in our model leads to reduced dependence...
Persistent link: https://www.econbiz.de/10013032693
The optimal insurance problem represents a fast growing topic that explains the most efficient contract that an insurance player may get. The classical problem investigates the ideal contract under the assumption that the underlying risk distribution is known, i.e. by ignoring the parameter and...
Persistent link: https://www.econbiz.de/10012935602
We study conditional expectiles, defined as a natural generalisation of conditional expectations by means of the minimisation of an asymmetric quadratic loss function. We show that conditional expectiles can be equivalently characterised by a conditional first order condition and we derive their...
Persistent link: https://www.econbiz.de/10012933393
This paper develops a unifying framework for allocating the aggregate capital of a financial firm to its business units. The approach relies on an optimisation argument, requiring that the weighted sum of measures for the deviations of the business unit’s losses from their respective allocated...
Persistent link: https://www.econbiz.de/10015215763
Abstract For solvency purposes insurance companies need to calculate so-called best-estimate reserves for outstanding loss liability cash flows and a corresponding risk margin for non-hedgeable insurance-technical risks in these cash flows. In actuarial practice, the calculation of the risk...
Persistent link: https://www.econbiz.de/10014622211
A distortion-type risk measure is constructed, which evaluates the risk of any uncertain position in the context of a portfolio that contains that position and a fixed background risk. The risk measure can also be used to assess the performance of individual risks within a portfolio, allowing...
Persistent link: https://www.econbiz.de/10005374532
Persistent link: https://www.econbiz.de/10005374615
Persistent link: https://www.econbiz.de/10005374632
Convex risk measures were introduced by Deprez and Gerber [Deprez, O., Gerber, H.U., 1985. On convex principles of premium calculation. Insurance: Math. Econom. 4 (3), 179-189]. Here the problem of allocating risk capital to subportfolios is addressed, when convex risk measures are used. The...
Persistent link: https://www.econbiz.de/10004973686