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2 résultats pour « Expected shortfall »

Sample Average Approximation for Portfolio Optimization under CVaR constraint in an (re)insurance context

15 oct. 2024 Autre, Insurance, Reinsurance, Expected shortfall, Conditional Value-At-Risk, Uniform strong large law of numbers, Central limit theorem, Value-At-Risk, Portfolio optimization, Sample average approximation

“We consider optimal allocation problems with Conditional Value-At-Risk (CVaR) constraint. We prove, under very mild assumptions, the convergence of the Sample Average Approximation method (SAA) applied to this problem, and we also exhibit a convergence rate and discuss the uniqueness of the solution. These results give (re)insurers a practical solution to portfolio optimization under market regulatory constraints, i.e. a certain level of risk.”

Risk sharing with Lambda value at risk under heterogeneous beliefs

7 août 2024 Value-at-Risk, Expected shortfall, CoVaR, Inf-convolution, Lambda value at Risk, Risk sharing, CoES, Distortion risk measure, Risk quantification

This study provides semi-explicit formulas for inf-convolution and optimal allocations, considering homogeneous, conditional, and absolutely continuous beliefs. The research also explores inf-convolution between Lambda value at risk and other risk measures, discussing optimal allocations and alternative Lambda value at risk definitions.

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