Measuring Risk When Expected Losses Are Unbounded

Alejandro Balbás, Iván Blanco and José Garrido
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Alejandro Balbás: University Carlos III of Madrid. C/ Madrid, 126. 28903 Getafe, Madrid, Spain
Iván Blanco: University Carlos III of Madrid. C/ Madrid, 126. 28903 Getafe, Madrid, Spain
José Garrido: Concordia University. Department of Mathematics and Statistics. 1455 de Maisonneuve Blvd. W., Montreal, QC H3G 1M8, Canada

Risks, 2014, vol. 2, issue 4, 1-14

Abstract: This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those characterized by some Pareto distributions. Extensions of the conditional value at risk, the weighted conditional value at risk and other examples are given. Actuarial applications are analyzed, such as extensions of the expected value premium principle when expected losses are unbounded.

Keywords: heavy tail; risk measures; representation theorem; applications (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:gam:jrisks:v:2:y:2014:i:4:p:411-424:d:40875

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