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Measuring Risk When Expected Losses Are Unbounded

Author

Listed:
  • Alejandro Balbás

    (University Carlos III of Madrid. C/ Madrid, 126. 28903 Getafe, Madrid, Spain)

  • Iván Blanco

    (University Carlos III of Madrid. C/ Madrid, 126. 28903 Getafe, Madrid, Spain)

  • José Garrido

    (Concordia University. Department of Mathematics and Statistics. 1455 de Maisonneuve Blvd. W., Montreal, QC H3G 1M8, Canada)

Abstract

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.

Suggested Citation

  • Alejandro Balbás & Iván Blanco & José Garrido, 2014. "Measuring Risk When Expected Losses Are Unbounded," Risks, MDPI, vol. 2(4), pages 1-14, September.
    • Handle: RePEc:gam:jrisks:v:2:y:2014:i:4:p:411-424:d:40875
    as

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    References listed on IDEAS

    as
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    5. R. Rockafellar & Stan Uryasev & Michael Zabarankin, 2006. "Generalized deviations in risk analysis," Finance and Stochastics, Springer, vol. 10(1), pages 51-74, January.
    6. Balbás, Alejandro & Balbás, Raquel & Garrido, José, 2010. "Extending pricing rules with general risk functions," European Journal of Operational Research, Elsevier, vol. 201(1), pages 23-33, February.
    7. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    8. Renata Mansini & Włodzimierz Ogryczak & M. Speranza, 2007. "Conditional value at risk and related linear programming models for portfolio optimization," Annals of Operations Research, Springer, vol. 152(1), pages 227-256, July.
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    Full references (including those not matched with items on IDEAS)

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