arXiv Open Access 2019

Risk Management with Tail Quasi-Linear Means

Nicole Bäuerle Tomer Shushi

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Abstrak

We generalize Quasi-Linear Means by restricting to the tail of the risk distribution and show that this can be a useful quantity in risk management since it comprises in its general form the Value at Risk, the Tail Value at Risk and the Entropic Risk Measure in a unified way. We then investigate the fundamental properties of the proposed measure and show its unique features and implications in the risk measurement process. Furthermore, we derive formulas for truncated elliptical models of losses and provide formulas for selected members of such models.

Topik & Kata Kunci

q-fin.RM

Penulis (2)

Nicole Bäuerle

Tomer Shushi

Format Sitasi

APA MLA BibTeX

Bäuerle, N., Shushi, T. (2019). Risk Management with Tail Quasi-Linear Means. https://arxiv.org/abs/1902.06941

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Informasi Jurnal

Tahun Terbit: 2019
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓