Artikel
Measuring risk when expected losses are unbounded
This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those characterized by some Pareto distributions. Extensions of the conditional value at risk, the weighted conditional value at risk and other examples are given. Actuarial applications are analyzed, such as extensions of the expected value premium principle when expected losses are unbounded.
- Language
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Englisch
- Bibliographic citation
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Journal: Risks ; ISSN: 2227-9091 ; Volume: 2 ; Year: 2014 ; Issue: 4 ; Pages: 411-424 ; Basel: MDPI
- Classification
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Wirtschaft
- Subject
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heavy tail
risk measures
representation theorem
applications
- Event
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Geistige Schöpfung
- (who)
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Balbás, Alejandro
Blanco, Iván
Garrido, José
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2014
- DOI
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doi:10.3390/risks2040411
- Handle
- Last update
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10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Balbás, Alejandro
- Blanco, Iván
- Garrido, José
- MDPI
Time of origin
- 2014
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