A unified approach to systemic risk measures via acceptance sets

A unified approach to generate risk measures

In this paper we present a unified approach to derive many important classes of premium principles, using the Markov inequality for tail probabilities. In addition, we will recall some of the important characterization theorems of these risk measures.

A Unified Approach to Generate Risk Measures By

The paper derives many existing risk measures and premium principles by minimizing a Markov bound for the tail probability. Our approach involves two exogenous functions v(S) and (S,p) and another exogenous parameter ≤ 1. Minimizing a general Markov bound leads to the following unifying equation: , . z S v S E E p = ^ ] h g 8 6 B @ For any random variable, the risk measure p is the solution to ...

The analysis of hazard identification and risk assessment studies with the approach to assessing risk control measures since 2001 to 2017: A systemic review

Abstract background and aims: Nowadays the growing complexity of technology and industry has led to vast changes over the last few decades. These changes, in addition to their positive and valuable effects, have also caused industrial accidents affecting human life and the environment. According to the ILO 2011 report, there are 340 million annual workplace accidents and 160 million occupation...

Measures of Systemic Risk

A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time

In this paper we provide a flexible framework allowing for a unified study of time consistency of risk measures and performance measures, also known as acceptability indices. The proposed framework integrates existing forms of time consistency. In our approach the time consistency is studied for a large class of maps that are postulated to satisfy only two properties – monotonicity and locality...