The Performance of Conditional Value-at-risk versus Value-at-risk in Ranking Crop Insurance Alternativaes
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چکیده
VALUE-AT-RISK IN RANKING CROP INSURANCE ALTERNATIVAES Abstract This study examines the use of conditional value-at-risk (CVaR) as a measure for evaluating risky alternatives. CVaR has been shown to have a number of advantages compared to the more traditionally applied value-at-risk in decision settings that involve choices among truncated revenue distributions. A conceptual presentation illustrates important issues in the use of CVaR and its relationship to VaR. An empirical model evaluates their performance for crop insurance decisions faced by grain farmers. The results show that use of VaR eliminates risk-efficient choices that CVaR retains.
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