The idea of coherent risk measures has been introduced by Artzner, Delbaen, Eber, and Heath (1999). We consider a particular class of coherent risk measures used in insurance pricing. These measures are obtained by expansion of TVaR measures. We develop an axiomatic description of these measures.
A characterization for a class of actuarial risk measures
CARDIN, Marta;
2004-01-01
Abstract
The idea of coherent risk measures has been introduced by Artzner, Delbaen, Eber, and Heath (1999). We consider a particular class of coherent risk measures used in insurance pricing. These measures are obtained by expansion of TVaR measures. We develop an axiomatic description of these measures.
File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in ARCA sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
