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Value-at-Risk vs. Expected Shortfall : Beware of the Aggregation Currency!

Antal, Peter - 2014

This note highlights the impact of changing the aggregation currency when testing for capital adequacy. This is … corresponding capital adequacy test -- critically depends on the aggregation currency. This is in contrast to Value-at-Risk, whose … sign is independent of the chosen aggregation currency. This implies that due caution is needed when using Expected …

Persistent link: https://www.econbiz.de/10013053687

Multi-Level Risk Aggregation

Filipović, Damir - 2015

In this paper we compare the current Solvency II standard and a genuine bottom-up approach to risk aggregation. This is …

Persistent link: https://www.econbiz.de/10013039429

General revealed preference tests of weak separability and utility maximization with incomplete adjustment

Hjertstrand, Per; Swofford, James L.; Whitney, Gerald A. - 2020

Boards hire and fire CEOs based on imperfect information. Using comprehensive data on 28 cohorts in Sweden, we analyze the role of a potentially important unobserved attribute - CEO health - in corporate governance. We find CEOs are significantly healthier than the population and other highskill...

Persistent link: https://www.econbiz.de/10012181126

Ordinal Aggregation Results via Karlin's Variation Diminishing Property

Choi, Michael; Smith, Lones - 2017

When is the weighted sum of quasi-concave functions quasi-concave? We answer this, extending an analogous preservation of the single-crossing property in QS: Quah and Strulovici (2012). Our approach develops a general preservation of n-crossing properties, applying the variation diminishing...

Persistent link: https://www.econbiz.de/10014142576

Why is economics the only discipline with so many curves going up and down? : there is an alternative

Dosi, Giovanni - 2023

preferences? Propositions on aggregation over them? Reduced forms of actual dynamic proposition of time profiles of prices and …

Persistent link: https://www.econbiz.de/10013489764

Recursive Utility for Thompson Aggregators : Least Fixed Point, Uniqueness, and Approximation Theories

Becker, Robert A.; Rincon-Zapatero, Juan P - 2023

We reconsider the theory of Thompson aggregators proposed by Marinacci and Montrucchio (2010). We demonstrate the Koopmans equation has a unique utility function solution given a Thompson aggregator. Uniqueness holds only on the interior of the commodity space's positive cone. We verify Du's...

Persistent link: https://www.econbiz.de/10014348847

Applying exterior differential calculus to economics: a presentation and some new results

Chiappori, Pierre-André; Ekeland, Ivar - Université Paris-Dauphine (Paris IX) - 2004

The paper provides an introduction to exterior differential calculus, and an application to the standard problem of the characterization of aggregate demand in an economy in which the number of agents is smaller than the number of goods.

Persistent link: https://www.econbiz.de/10011073938

Ergodic Chaos and Aggregate Stability: A Deterministic Discrete-Choice Model of Wealth Distribution Dynamics

Kamihigashi, Takashi - Research Institute for Economics and Business … - 2012

This paper studies wealth distribution dynamics in a small open economy with a continuum of consumers indexed by initial wealth. Each of them solves a discrete-choice problem whose optimal policy function exhibits ergodic chaos. We show that for any initial distribu- tion of wealth given by a...

Persistent link: https://www.econbiz.de/10010559467

Outer measure and utility

Voorneveld, Mark; Weibull, Jörgen W. - 2008

In most economics textbooks there is a gap between the non-existence of utility functions and the existence of continuous utility functions, although upper semi-continuity is sufficient for many purposes. Starting from a simple constructive approach for countable domains and combining this with...

Persistent link: https://www.econbiz.de/10010281322

On the consistency of fuzzy measures in multi-criteria aggregation

Yager, Ronald R.; Alajlan, Naif - In: Fuzzy optimization and decision making : a journal of … 14 (2015) 2, pp. 121-137

Persistent link: https://www.econbiz.de/10011313097