Risk measures based on benchmark loss distributions
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| Tag | 1 | 2 | Value |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20200015864 | ||
| 003 | MAP | ||
| 005 | 20200508140751.0 | ||
| 008 | 200508e20200601usa|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | $0MAPA20160015379$aBignozzi, Valeria | ||
| 245 | 1 | 0 | $aRisk measures based on benchmark loss distributions$cValeria Bignozzi, Matteo Burzoni, Cosimo Munari |
| 520 | $aWe introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected Shortfall (ES), take into account both the frequency and the severity of losses. Under VaR a single confidence level is assigned regardless of the size of potential losses. We allow for a range of confidence levels that depend on the loss magnitude. The key ingredient is a benchmark loss distribution (BLD), that is, a function that associates to each potential loss a maximal acceptable probability of occurrence. The corresponding risk measure, called Loss VaR (LVaR), determines the minimal capital injection that is required to align the loss distribution of a risky position to the target BLD. By design, one has full flexibility in the choice of the BLD profile and, therefore, in the range of relevant quantiles. Special attention is given to piecewise constant functions and to tail distributions of benchmark random losses, in which case the acceptability condition imposed by the BLD boils down to first order stochastic dominance. We investigate the main theoretical properties of LVaR with a focus on their comparison with VaR and ES and discuss applications to capital adequacy, portfolio risk management, and catastrophic risk. | ||
| 650 | 4 | $0MAPA20090025479$aDistribución de pérdidas | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 650 | 4 | $0MAPA20080604394$aValoración de riesgos | |
| 650 | 4 | $0MAPA20080602437$aMatemática del seguro | |
| 650 | 4 | $0MAPA20080592011$aModelos actuariales | |
| 700 | 1 | $0MAPA20200010937$aBurzoni, Matteo | |
| 700 | 1 | $0MAPA20200010944$aMunari, Cosimo | |
| 773 | 0 | $wMAP20077000727$tThe Journal of risk and insurance$dNueva York : The American Risk and Insurance Association, 1964-$x0022-4367$g01/06/2020 Volumen 87 Número 2 - junio 2020 , p. 437-475 |