Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/103621 
Erscheinungsjahr: 
2013
Quellenangabe: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 1 [Issue:] 1 [Publisher:] MDPI [Place:] Basel [Year:] 2013 [Pages:] 14-33
Verlag: 
MDPI, Basel
Zusammenfassung: 
Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult task. In this paper, we demonstrate how this can be successfully accomplished when losses follow the multivariate Pareto distribution of the second kind, which is an attractive model for multi-losses whose dependence and tail heaviness are influenced by a heavy-tailed background risk. A particular attention is given to the distortion and weighted risk measures and allocations, as well as their special cases such as the conditional layer expectation, tail value at risk, and the truncated tail value at risk. We derive formulas that are either of closed form or follow well-defined recursive procedures. In either case, their computational use is straightforward.
Schlagwörter: 
distortion risk measure
weighted premium
weighted allocation
tail value at risk
conditional tail expectation
multivariate Pareto distribution
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Article
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
277.65 kB





Publikationen in EconStor sind urheberrechtlich geschützt.