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Measuring Risk When Expected Losses Are Unbounded
oleh: Alejandro Balbás, Iván Blanco, José Garrido
| Format: | Article |
|---|---|
| Diterbitkan: | MDPI AG 2014-09-01 |
Deskripsi
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.