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risk measures
Items for "risk measures"
Risk measurement with equivalent utility principles
Risk measures have been studied for several decades in the actuarial literature, where they appeared under the guise of premium calculation principles...
Keywords: risk measures, theories for decision under uncertainty, axiomatic characterization, equivalent utility, risk aversion
01/2006 | Statistics & Decisions, Oldenbourg WissenschaftsverlagOn distortion functionals
Distorted measures have been used in pricing of insurance contracts for a long time. This paper reviews properties of related acceptability functionals in risk management, called distortion functionals...
Keywords: risk measures, insurance premium, portfolio optimization
01/2006 | Statistics & Decisions, Oldenbourg WissenschaftsverlagLaw invariant convex risk measures for portfolio vectors
The class of all law invariant, convex risk measures for portfolio vectors is characterized. The building blocks of this class are shown to be formed by the maximal correlation risk measures...
Keywords: risk measures, portfolio vector, distortion, average value at risk
01/2006 | Statistics & Decisions, Oldenbourg WissenschaftsverlagOn the optimal risk allocation problem
The optimal risk allocation problem or equivalently the problem of risk sharing is the problem to allocate a risk in an optimal way to n traders endowed with risk measures ρ1,...,ρn...
Keywords: Pareto optimal risk allocation, risk sharing, risk measures, Equilibrium
01/2006 | Statistics & Decisions, Oldenbourg Wissenschaftsverlag