Measuring Risk When Expected Losses Are Unbounded

Risks

Alejandro Balbás¹  Iván Blanco¹  José Garrido² 

[1] University Carlos III of Madrid. C/ Madrid, 126. 28903 Getafe (Madrid, Spain); E-Mails:;Concordia University. Department of Mathematics and Statistics. 1455 de Maisonneuve Blvd. W., Montreal, QC H3G 1M8, Canada; E-Mail:

关键词: heavy tail;    risk measures;    representation theorem;    applications;   

DOI  :  10.3390/risks2040411

来源: mdpi

【 摘 要 】

This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those characterized by some Pareto distributions. Extensions of the conditional value at risk, the weighted conditional value at risk and other examples are given. Actuarial applications are analyzed, such as extensions of the expected value premium principle when expected losses are unbounded.

【 授权许可】

CC BY   
© 2014 by the authors; licensee MDPI, Basel, Switzerland.