Nos derniers articles

3 résultats pour « risk measures »

Optimal insurance design with Lambda‑Value‑at‑Risk

20 août 2024 Autre, risk measures, stoploss, model uncertainty, Optimal insurance, Lambda-Value-at-Risk

The paper examines optimal insurance solutions using $\Lambda\VaR$. It finds truncated stop-loss indemnity optimal with the expected value premium principle and provides a deductible parameter expression. Using $\Lambda'\VaR$, full or no insurance is optimal. It also addresses model uncertainty, offering solutions for various uncertainty scenarios.

On the Separability of Vector‑Valued Risk Measures

25 juil. 2024 risk measures, multi-asset markets, convex, lower semicontinuous, capital allocation, set-valued risk measures, vector-valued risk measures, random vectors, systemic risk measures, conditional setting, transaction costs, capital requirements, axiomatic framework, allocation vectors, financial networks, dependence structures, Risk quantification

This paper defines vector-valued risk measures using axioms and shows they ignore dependence structures of input random vectors, unlike set-valued risk measures. Convex vector-valued risk measures are unsuitable for capital allocation in various financial applications, including systemic risk measures. The results also generalize to conditional settings.

Risk exchange under infinite‑mean Pareto models

2 avr. 2024 Autre, risk measures, heavy-tailed distributions, Pareto, equilibrium analysis, optimal decisions, empirical studies, Quantification des risques

The study explores optimal decision-making for agents minimizing risks with extremely heavy-tailed, possibly dependent losses. Focused on super-Pareto distributions, including heavy-tailed Pareto, it finds non-diversification preferred with well-defined risk measures. Equilibrium analysis in risk exchange markets indicates agents with such losses avoid risk sharing. Empirical data confirms real-world heavy-tailed distributions.

Une question ? Une collaboration ?
Contactez‑nous dès aujourd'hui

Nom

Téléphone

E-Mail

Message

Votre message a bien été envoyé

Metametris
6 rue d’Armaillé
75017 - Paris

du lundi au vendredi
de 8h à 18h

06 07 91 04 29