Risk management with Tail Quasi-Linear Means

Nicole Bäuerle, Tomer Shushi

Research output: Contribution to journalArticlepeer-review

2 Scopus citations

Abstract

We generalise 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 Conditional Tail Expectation 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.

Original languageEnglish
Pages (from-to)170-187
Number of pages18
JournalAnnals of Actuarial Science
Volume14
Issue number1
DOIs
StatePublished - 1 Mar 2020

Keywords

  • Quasi-linear means
  • conditional tail expectation
  • risk measurement
  • tail risk measures
  • value at risk

ASJC Scopus subject areas

  • Statistics and Probability
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty

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