Are quantile risk measures suitable for risk-transfer decisions?

Manuel Guerra and Maria de Lourdes Centeno

Insurance: Mathematics and Economics, 2012, vol. 50, issue 3, 446-461

Abstract: Although controversial from the theoretical point of view, quantile risk measures are widely used by institutions and regulators.

Keywords: Coherent risk measures; Conditional tail expectation; Risk; Risk measures; Optimal reinsurance; Quantile risk measures; Truncated stop loss; Value at Risk (search for similar items in EconPapers)
JEL-codes: C00 C61 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:50:y:2012:i:3:p:446-461

DOI: 10.1016/j.insmatheco.2012.02.006

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