Worst case risk measurement: Back to the future?
AbstractThis paper studies the problem of finding best-possible upper bounds on a rich class of risk measures, expressible as integrals with respect to measures, under incomplete probabilistic information. Both univariate and multivariate risk measurement problems are considered. The extremal probability distributions, generating the worst case scenarios, are also identified.
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Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 49 (2011)
Issue (Month): 3 ()
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Web page: http://www.elsevier.com/locate/inca/505554
Risk measurement; Generalized scenarios; Worst case scenario; Cones; Linear programming; Value-at-Risk; Tail-Value-at-Risk; Exponential premium;
Find related papers by JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G20 - Financial Economics - - Financial Institutions and Services - - - General
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- Goovaerts, Marc & Linders, Daniël & Van Weert, Koen & Tank, Fatih, 2012.
"On the interplay between distortion-, mean value- and Haezendonck-Goovaerts risk measures,"
Open Access publications from Katholieke Universiteit Leuven
urn:hdl:123456789/352122, Katholieke Universiteit Leuven.
- Goovaerts, Marc & Linders, Daniël & Van Weert, Koen & Tank, Fatih, 2012. "On the interplay between distortion, mean value and Haezendonck–Goovaerts risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 10-18.
- McNeil, Alexander J. & Smith, Andrew D., 2012. "Multivariate stress scenarios and solvency," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 299-308.
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