Asymptotics for the conditional higher moment coherent risk measure with weak contagion

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<rdf:Description>
<dc:creator>Liu, Jiajun</dc:creator>
<dc:creator>Yi, Qingxin </dc:creator>
<dc:creator>International Actuarial Association</dc:creator>
<dc:date>2025-01-29</dc:date>
<dc:description xml:lang="es">Sumario: In the bank regulatory frameworks of Basel II and Basel III, as well as in the insurance regulatory regimes such as Solvency II and Swiss Solvency Test, capital requirements for all financial institutions and (re)insurance companies operating within the European Union and Switzerland are solely based on the Value at Risk (VaR) and the Expected Shortfall (ES). For these reasons and not only, risk measures are widely applied by financial and insurance institutions for pricing and decision-making. Generally, a risk measure is a mapping from some space of random risks to a set of real numbers, which quantifies risk exposure. However, in the broader literature of risk management, there is no answer to the question of which risk measure is the best. An axiomatic definition of coherent risk measures is introduced by Artzner (1999) to prescribe a set of reasonable risk measures, satisfying the properties of monotonicity, positive homogeneity, sub-additivity, and translation invariance. Various measures have been introduced in the existing literature to evaluate extreme risk exposure under the effect of an observable factor. Due to the nice properties of the higher-moment (HM) coherent risk measure, they propose a conditional version of the HM (CoHM) risk measure by incorporating the information of an observable factor</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/189386.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Matemática del seguro</dc:subject>
<dc:subject xml:lang="es">Entidades financieras</dc:subject>
<dc:subject xml:lang="es">Requerimientos financieros</dc:subject>
<dc:subject xml:lang="es">Valor capital</dc:subject>
<dc:subject xml:lang="es">Valoración de riesgos</dc:subject>
<dc:subject xml:lang="es">Déficit</dc:subject>
<dc:subject xml:lang="es">Análisis actuarial</dc:subject>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Asymptotics for the conditional higher moment coherent risk measure with weak contagion</dc:title>
<dc:relation xml:lang="es">En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 29/01/2025 Volume 55 Issue 1 - January 2025 , p. 121 - 143</dc:relation>
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