IDEAS home Printed from https://ideas.repec.org/p/xrs/sfbmaa/97-17.html
   My bibliography  Save this paper

Shortfall-Risiko/Excess-Chance-Entscheidungskalküle: Grundlagen und Beziehungen zum Bernoulli-Prinzip

Author

Listed:
  • Albrecht, Peter

    () (Sonderforschungsbereich 504)

  • Maurer, Raimond

    () (Lehrstuhl fuer Investment, Portfolio Management und Alterssicherung)

  • Möller, Matthias

    (WGZ Bank)

Abstract

In dieser Arbeit soll ein einheitlicher konzeptualer Zugang zur Quantifizierung des Verlustpotentials (Risiko) eines zufallsabhängigen finanziellen Ergebnisses dargestellt werden. Die Maße des (Lower Partial Moments)-Typus sind hierin als Spezialfall enthalten. Eine solche Vorgehensweise eröffnet zugleich eine neue Interpretationsmöglichkeit von Shortfall-Risikomaßen. Zum zweiten wird die Klasse der Shortfall-Risiko-Erwartungswert (SR/E)-Kalküle vorgestellt und ihre Beziehungen zum Bernoulli-Prinzip beleuchtet. Zum dritten wird symmetrisch zur Quantifizierung des Risikopotentials durch Shortfall-Risikomaße die Quantifizierung des Gewinnpotentials (Chance) durch Excess-Chancemaße vorgeschlagen. Schließlich wird die Klasse der Shortfall-Risiko/Excess-Chance (SR/EC)-Kalküle eingeführt und auch deren Beziehungen zum Bernoulli-Prinzip untersucht.

Suggested Citation

  • Albrecht, Peter & Maurer, Raimond & Möller, Matthias, 1997. "Shortfall-Risiko/Excess-Chance-Entscheidungskalküle: Grundlagen und Beziehungen zum Bernoulli-Prinzip," Sonderforschungsbereich 504 Publications 97-17, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
  • Handle: RePEc:xrs:sfbmaa:97-17 Note: Financial support from the Deutsche Forschungsgemeinschaft, SFB 504, at the University of Mannheim, is gratefully acknowledged.
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    References listed on IDEAS

    as
    1. James H. Stock & David A. Wise, 1990. "The Pension Inducement to Retire: An Option Value Analysis," NBER Chapters,in: Issues in the Economics of Aging, pages 205-230 National Bureau of Economic Research, Inc.
    2. Robin L. Lumsdaine & James H. Stock & David A. Wise, 1992. "Three Models of Retirement: Computational Complexity versus Predictive Validity," NBER Chapters,in: Topics in the Economics of Aging, pages 21-60 National Bureau of Economic Research, Inc.
    3. Börsch-Supan, Axel, 1997. "Germany: a social security system of the verge of collaps," Papers 97-23, Sonderforschungsbreich 504.
    4. Laurence J. Kotlikoff & David A. Wise, 1987. "The Incentive Effects of Private Pension Plans," NBER Chapters,in: Issues in Pension Economics, pages 283-340 National Bureau of Economic Research, Inc.
    5. repec:nys:sunysb:321 is not listed on IDEAS
    6. Glenn T. Sueyoshi, 1989. "Social Security and the Determinants of Full and Partial Retirement: A Competing Risks Analysis," NBER Working Papers 3113, National Bureau of Economic Research, Inc.
    7. Riphahn, Regina T. & Schmidt, Peter, 1995. "Determinanten des Rentenzugangs: Lockt der Ruhestand oder drängt der Arbeitsmarkt?," ZEW Discussion Papers 95-10, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
    8. Schnabel, Reinhold, 1997. "Intergenerational Distribution and Pension Reform in Germany," Working Papers 14962, University of Mannheim, Department of Economics.
    9. Börsch-Supan, Axel, 1997. "Germany: A social security system on the verge of collaps," Sonderforschungsbereich 504 Publications 97-23, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    10. Zvi Bodie & John B. Shoven & David A. Wise, 1987. "Issues in Pension Economics," NBER Books, National Bureau of Economic Research, Inc, number bodi87-1, January.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Berg, Ernst & Starp, Michael, 2006. "Farm Level Risk Assessment Using Downside Risk Measures," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia 25400, International Association of Agricultural Economists.
    2. Albrecht, Peter & Klett, Timo, 2004. "Referenzpunktbezogene risikoadjustierte Performancemaße : theoretische Grundlagen," Papers 04-10, Sonderforschungsbreich 504.
    3. Maurer, Raimond H. & Schlag, Christian, 2002. "Money-back guarantees in individual pension accounts: Evidence from the German pension reform," CFS Working Paper Series 2002/03, Center for Financial Studies (CFS).
    4. Walther, Ursula, 2002. "Strategische Asset-Allokation aus Sicht des privaten Kapitalanlegers," Freiberg Working Papers 2002,12, TU Bergakademie Freiberg, Faculty of Economics and Business Administration.
    5. Raimond Mauer & Steffen P. Sebastian, 2002. "Inflation Risk Analysis of European Real Estate Securities," Journal of Real Estate Research, American Real Estate Society, vol. 24(1), pages 47-78.
    6. Albrecht, Peter & Maurer, Raimond & Ruckpaul, Ulla, 2001. "On the risks of stocks in the long run : a probabilistic approach based on measures of shortfall risk," Papers 01-12, Sonderforschungsbreich 504.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:xrs:sfbmaa:97-17. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Carsten Schmidt). General contact details of provider: http://edirc.repec.org/data/sfmande.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.