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Raising Value at Risk

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  • Julia Lynn Wirch

Abstract

In this paper I consider the properties for a coherent risk measure, outlined by Artzner et al. (1996), and relate these requirements to a well-known measure, value at risk (VaR), which attempts to evaluate economic risk. I show how the usual method of calculating VaR does not adhere to the coherency requirements and discuss the implications of such a result. As well, I discuss the use of the mean excess loss function to help solve this problem.

Suggested Citation

  • Julia Lynn Wirch, 1999. "Raising Value at Risk," North American Actuarial Journal, Taylor & Francis Journals, vol. 3(2), pages 106-115.
  • Handle: RePEc:taf:uaajxx:v:3:y:1999:i:2:p:106-115
    DOI: 10.1080/10920277.1999.10595804
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    Citations

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    Cited by:

    1. Mohamed Ibrahim & Walid Emam & Yusra Tashkandy & M. Masoom Ali & Haitham M. Yousof, 2023. "Bayesian and Non-Bayesian Risk Analysis and Assessment under Left-Skewed Insurance Data and a Novel Compound Reciprocal Rayleigh Extension," Mathematics, MDPI, vol. 11(7), pages 1-26, March.
    2. Lynn Wirch, Julia & Hardy, Mary R., 1999. "A synthesis of risk measures for capital adequacy," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 337-347, December.
    3. Maurer, Raimond H. & Schlag, Christian, 2002. "Money-back guarantees in individual pension accounts: Evidence from the German pension reform," CFS Working Paper Series 2002/03, Center for Financial Studies (CFS).
    4. Albrecht, Peter, 2003. "Risk measures," Papers 03-01, Sonderforschungsbreich 504.
    5. José Daniel López-Barrientos & Ekaterina Viktorovna Gromova & Ekaterina Sergeevna Miroshnichenko, 2020. "Resource Exploitation in a Stochastic Horizon under Two Parametric Interpretations," Mathematics, MDPI, vol. 8(7), pages 1-29, July.
    6. Albrecht, Peter & Maurer, Raimond & Ruckpaul, Ulla, 2001. "On the risks of stocks in the long run : a probabilistic approach based on measures of shortfall risk," Papers 01-12, Sonderforschungsbreich 504.
    7. Haitham M. Yousof & Yusra Tashkandy & Walid Emam & M. Masoom Ali & Mohamed Ibrahim, 2023. "A New Reciprocal Weibull Extension for Modeling Extreme Values with Risk Analysis under Insurance Data," Mathematics, MDPI, vol. 11(4), pages 1-26, February.
    8. Haitham M. Yousof & Walid Emam & Yusra Tashkandy & M. Masoom Ali & R. Minkah & Mohamed Ibrahim, 2023. "A Novel Model for Quantitative Risk Assessment under Claim-Size Data with Bimodal and Symmetric Data Modeling," Mathematics, MDPI, vol. 11(6), pages 1-31, March.

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