Measuring Risk When Expected Losses Are Unbounded

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… (More)

Topics

Cite this paper

@inproceedings{Balbs2014MeasuringRW, title={Measuring Risk When Expected Losses Are Unbounded}, author={Alejandro Balb{\'a}s and Iv{\'a}n Blanco and Jos{\'e} Garrido and Mogens Steffensen}, year={2014} }