Dynamic capital allocation with distortion risk measures
نویسندگان
چکیده
منابع مشابه
Risk Measures , Risk Aggregation and Capital Allocation
We consider risk measures, risk aggregation and capital allocation in these lecture notes and build on our earlier introduction to Value-at-Risk (VaR) and Expected Shortfall (ES). We will follow Chapter 8 of the 2 edition of Quantitative Risk Management by MFE quite closely. This chapter, however, contains considerably more material than we will cover and it should be consulted if further detai...
متن کاملEconomic capital allocation derived from risk measures
We examine properties of risk measures that can be considered to be in line with some ‘best practice’ rules in insurance, based on solvency margins. We give ample motivation that all economic aspects related to an insurance portfolio should be considered in the definition of a risk measure. As a consequence, conditions arise for comparison as well as for addition of risk measures. We demonstrat...
متن کاملRisk Measures , Risk Aggregation and Capital Allocation 2
In 1999 Artzner et al. proposed a list of properties that any good risk measure should have and this list gave rise to the concept of coherent and incoherent measures of risk. Since then a substantial body of research has developed on the theoretical properties of risk measures and we describe some of these results here. Let M denote the space of random variables representing portfolio losses o...
متن کاملThe Marginal Cost of Risk, Risk Measures, and Capital Allocation
Financial institutions define their marginal cost of risk on the basis of the gradients of arbitrarily chosen risk measures. We reverse this approach by calculating the marginal cost for a profit-maximizing firm with risk-averse counterparties, and then identifying the risk measure delivering the correct marginal cost. The resulting measure is a weighted average of three parts, each correspondi...
متن کاملRisk Redistribution with Distortion Risk Measures∗
This paper studies optimal risk redistribution between firms, such as banks or insurance companies. The introduction of the Basel II regulation and the Swiss Solvency Test (SST) has increased the use of risk measures to evaluate financial or insurance risk. We consider the case where firms use a distortion risk measure (also called dual utility) to evaluate risk. The paper first characterizes a...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2004
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2003.09.005