The Iterated CTE – a Dynamic Risk Measure

نویسندگان

  • Mary R. Hardy
  • Julia L. Wirch
چکیده

In this paper we present a method for defining a dynamic risk measure from a static risk measure, by backwards iteration. We apply the method to the CTE risk measure to construct a new, dynamic risk measure, the iterated CTE or ICTE. We show that the ICTE is coherent, consistent and relevant according to the definitions of Riedel (2003), and we derive formulae for the ICTE for the case where the loss process is lognormal. Finally, we demonstrate the practical implementation of the ICTE to an equity-linked insurance contract with maturity and death benefit guarantees.

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تاریخ انتشار 2003