On a robust risk measurement approach for capital determination errors minimization

Marcelo Righi (), Fernanda Maria Müller and Marlon Ruoso Moresco

Insurance: Mathematics and Economics, 2020, vol. 95, issue C, 199-211

Abstract: We propose a robust risk measurement approach that minimizes the expectation of overestimation plus underestimation costs. We consider uncertainty by taking the supremum over a collection of probability measures, relating our approach to dual sets in the representation of coherent risk measures. We provide results that guarantee the existence of a solution and explore the properties of minimizer and minimum as risk and deviation measures, respectively. An empirical illustration is carried out to demonstrate the use of our approach in capital determination.

Keywords: Uncertainty modeling; Risk measures; Deviation measures; Capital determination; Underestimation and overestimation costs (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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Working Paper: On a robust risk measurement approach for capital determination errors minimization (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:95:y:2020:i:c:p:199-211

DOI: 10.1016/j.insmatheco.2020.10.007

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