Risk management with Tail Quasi-Linear Means

Nicole Bäuerle and Tomer Shushi

Annals of Actuarial Science, 2020, vol. 14, issue 1, 170-187

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.

Date: 2020
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