Displaying similar documents to “Seven Proofs for the Subadditivity of Expected Shortfall”

Quantile hedging on markets with proportional transaction costs

Michał Baran (2003)

Applicationes Mathematicae

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The problem of risk measures in a discrete-time market model with transaction costs is studied. Strategy effectiveness and shortfall risk are introduced. This gives a generalization of quantile hedging presented in [4].

Robustness regions for measures of risk aggregation

Silvana M. Pesenti, Pietro Millossovich, Andreas Tsanakas (2016)

Dependence Modeling

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One of risk measures’ key purposes is to consistently rank and distinguish between different risk profiles. From a practical perspective, a risk measure should also be robust, that is, insensitive to small perturbations in input assumptions. It is known in the literature [14, 39], that strong assumptions on the risk measure’s ability to distinguish between risks may lead to a lack of robustness. We address the trade-off between robustness and consistent risk ranking by specifying the...

Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances

Pierre Devolder, Adrien Lebègue (2016)

Dependence Modeling

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The purpose of this paper is twofold. First we consider a ruin theory approach along with risk measures in order to determine the solvency capital of long-term guarantees such as life insurances or pension products. Secondly, for such products,we challenge the definition of the Solvency Capital Requirement (SCR) under the Solvency II (SII) regulatory framework based on a yearly viewpoint. Several methods for the calculation of the solvency capital are presented. We start our study with...