Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/167840
Authors: 
Balbás, Alejandro
Blanco, Iván
Garrido, José
Year of Publication: 
2014
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 2 [Year:] 2014 [Issue:] 4 [Pages:] 411-424
Abstract: 
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.
Subjects: 
heavy tail
risk measures
representation theorem
applications
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
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