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Optimal Numeraires for Risk Measures

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Author Info
Damir Filipovic (Department of Mathematics, University of Munich)
Abstract

Can the usage of a risky numeraire with a greater than risk free expected return reduce the capital requirements in a solvency test? I will show that this is not the case. In fact, under a reasonable technical condition, there exists no optimal numeraire which yields smaller capital requirements than any other numeraire.

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Paper provided by Quantitative Finance Research Centre, University of Technology, Sydney in its series Research Paper Series with number 187.

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Length: 5
Date of creation: 01 Jan 2007
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Handle: RePEc:uts:rpaper:187

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  1. Filipovic, Damir & Kupper, Michael, 2007. "Monotone and cash-invariant convex functions and hulls," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 1-16, July. [Downloadable!] (restricted)
  2. Hans Föllmer & Alexander Schied, 2002. "Convex measures of risk and trading constraints," Finance and Stochastics, Springer, vol. 6(4), pages 429-447. [Downloadable!] (restricted)
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This page was last updated on 2009-12-30.

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