کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5077267 | 1374124 | 2008 | 9 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Risk measurement in the presence of background risk Risk measurement in the presence of background risk](/preview/png/5077267.png)
A distortion-type risk measure is constructed, which evaluates the risk of any uncertain position in the context of a portfolio that contains that position and a fixed background risk. The risk measure can also be used to assess the performance of individual risks within a portfolio, allowing for the portfolio's re-balancing, an area where standard capital allocation methods fail. It is shown that the properties of the risk measure depart from those of coherent distortion measures. In particular, it is shown that the presence of background risk makes risk measurement sensitive to the scale and aggregation of risk. The case of risks following elliptical distributions is examined in more detail and precise characterisations of the risk measure's aggregation properties are obtained.
Journal: Insurance: Mathematics and Economics - Volume 42, Issue 2, April 2008, Pages 520-528