Are quantile risk measures suitable for risk-transfer decisions?∗
نویسندگان
چکیده
Although controversial from the theoretical point of view, quantile risk measures are widely used by institutions and regulators. In this paper we show that the use of measures like Value at Risk or Conditional Tail Expectation as optimization criteria for insurance or reinsurance leads to treaties that are not enforceable and/or are clearly bad for the cedent. We argue that this is one further argument against the use of quantile risk measures, at least for the purpose of risk-transfer decisions.
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