• Media type: E-Article
  • Title: Measuring risk when expected losses are unbounded
  • Contributor: Balbás, Alejandro [Author]; Blanco, Iván [Author]; Garrido, José [Author]
  • imprint: Basel: MDPI, 2014
  • Language: English
  • DOI: https://doi.org/10.3390/risks2040411
  • ISSN: 2227-9091
  • Keywords: heavy tail ; applications ; risk measures ; representation theorem
  • Origination:
  • Footnote: Diese Datenquelle enthält auch Bestandsnachweise, die nicht zu einem Volltext führen.
  • Description: 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.
  • Access State: Open Access
  • Rights information: Attribution (CC BY)