Capital requirements, risk measures and comonotonicity
نویسندگان
چکیده
In this paper we examine and summarize properties of several well-known risk measures, with special attention given to the class of distortion risk measures. We investigate the relationship between these risk measures and theories of choice under risk. We also consider the problem of evaluating risk measures for sums of nonindependent random variables and propose approximations based on the concept of comonotonicity.
منابع مشابه
Risk Measures and Comonotonicity: a Review
In this paper we examine and summarize properties of several well-known risk measures that can be used in the framework of setting solvency capital requirements for a risky business. Special attention is given to the class of (concave) distortion risk measures. We investigate the relationship between these risk measures and theories of choice under risk. Furthermore we consider the problem of h...
متن کاملSolvency capital, risk measures and comonotonicity: a review
In this paper we examine and summarize properties of several well-known risk measures that can be used in the framework of setting solvency capital requirements for a risky business. Special attention is given to the class of (concave) distortion risk measures. We investigate the relationship between these risk measures and theories of choice under risk. Furthermore we consider the problem of h...
متن کاملDISCUSSION PAPER PI-0607 Risk Measures and Comonotonicity: a Review
In this paper we examine and summarize properties of several well-known risk measures that can be used in the framework of setting solvency capital requirements for a risky business. Special attention is given to the class of (concave) distortion risk measures. We investigate the relationship between these risk measures and theories of choice under risk. Furthermore we consider the problem of h...
متن کاملOn Comonotonicity of Pareto Optimal Risk Sharing
We prove comonotonicity of Pareto-optimal risk allocations using risk measures consistent with the stochastic convex order. This extends result of Landsberger and Meilijson (1994) to risks X ∈ L and general probability spaces.
متن کاملTail comonotonicity: properties, constructions, and asymptotic additivity of risk measures
Abstract. We investigate properties of a version of tail comonotonicity that can be applied to absolutely continuous distributions, and give several methods for constructions of multivariate distributions with tail comonotonicity or strongest tail dependence. Archimedean copulas as mixtures of powers, and scale mixtures of a non-negative random vector with the mixing distribution having slowly ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2004