Loss-based risk measures

DOI10.1524/STRM.2013.1132MaRDI QIDQ2841418zbMATH OpenOpenAlexFDO

Authors Rama Cont, Romain Deguest, Xue Dong He

Publication date 25 July 2013

Published in Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1110.1436

zbMATH Keywords

actuarial premium principlecoherent risk measureconvex risk measurerisk managementrobustness

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Statistical methods; risk measures (91G70)

Abstract: Starting from the requirement that risk measures of financial portfolios should be based on their losses, not their gains, we define the notion of loss-based risk measure and study the properties of this class of risk measures. We characterize loss-based risk measures by a representation theorem and give examples of such risk measures. We then discuss the statistical robustness of estimators of loss-based risk measures: we provide a general criterion for qualitative robustness of risk estimators and compare this criterion with sensitivity analysis of estimators based on influence functions. Finally, we provide examples of statistically robust estimators for loss-based risk measures.

Recommendations

• Robustness and sensitivity analysis of risk measurement procedures
• Coherent and convex loss-based risk measures for portfolio vectors
• Comparative and qualitative robustness for law-invariant risk measures
• Set-valued loss-based risk measures
• Robustness regions for measures of risk aggregation

Cited in

(26)

• Robust measurement of (heavy-tailed) risks: theory and implementation
• Set-valued loss-based risk measures
• Coherent and convex loss-based risk measures for portfolio vectors
• On lower partial moments for the investment portfolio with variance-gamma distributed returns
• Risks in emerging markets equities: time-varying versus spatial risk analysis
• Handbook on loss reserving
• Foundations of Risk Measurement. I. Risk As Probable Loss
• Surplus-invariant risk measures
• Dynamic portfolio choice when risk is measured by weighted VaR
• Robustness and sensitivity analysis of risk measurement procedures
• scientific article; zbMATH DE number 4064329 (Why is no real title available?)
• On the properties of the lambda value at risk: robustness, elicitability and consistency
• PROFIT SHARING IN HEDGE FUNDS
• A theory for measures of tail risk
• Surplus-invariant, law-invariant, and conic acceptance sets must be the sets induced by value at risk
• SET-VALUED CASH SUB-ADDITIVE RISK MEASURES
• Diversification, protection of liability holders and regulatory arbitrage
• Sharing the value‐at‐risk under distributional ambiguity
• Preference robust distortion risk measure and its application
• An axiomatic approach to default risk and model uncertainty in rating systems
• Regulator-based risk statistics with scenario analysis
• Qualitative robustness of utility-based risk measures
• Risk budgeting portfolios: existence and computation
• Elicitability and identifiability of tail risk measures
• The limitations of comonotonic additive risk measures: a literature review
• Regulator-based risk statistics for portfolios

This page was built for publication: Loss-based risk measures

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2841418)