Worst case risk measurement: Back to the future?

Marc Goovaerts, Rob Kaas and Roger Laeven

Insurance: Mathematics and Economics, 2011, vol. 49, issue 3, 380-392

Abstract: This paper studies the problem of finding best-possible upper bounds on a rich class of risk measures, expressible as integrals with respect to measures, under incomplete probabilistic information. Both univariate and multivariate risk measurement problems are considered. The extremal probability distributions, generating the worst case scenarios, are also identified.

Keywords: Risk measurement; Generalized scenarios; Worst case scenario; Cones; Linear programming; Value-at-Risk; Tail-Value-at-Risk; Exponential premium (search for similar items in EconPapers)
JEL-codes: D81 G10 G20 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:49:y:2011:i:3:p:380-392

DOI: 10.1016/j.insmatheco.2011.06.001

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