Simple risk measure calculations for sums of positive random variables

Montserrat Guillen, José María Sarabia () and Faustino Prieto

Insurance: Mathematics and Economics, 2013, vol. 53, issue 1, 273-280

Abstract: Closed-form expressions for basic risk measures, such as value-at-risk and tail value-at-risk, are given for a family of statistical distributions that are specially suitable for right-skewed positive random variables. This is useful for risk aggregation in many insurance and financial applications that model positive losses, where the Gaussian assumption is not valid. Our results provide a direct and flexible parametric approach to multivariate risk quantification, for sums of correlated positive loss distributions, that can be readily implemented in a spreadsheet.

Keywords: Value at risk; Tail value at risk; Beta distribution; Heavy-tailed; Multivariate loss models (search for similar items in EconPapers)
JEL-codes: C10 G22 G32 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:53:y:2013:i:1:p:273-280

DOI: 10.1016/j.insmatheco.2013.05.007

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