کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7354550 | 1477194 | 2018 | 20 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Which eligible assets are compatible with comonotonic capital requirements?
ترجمه فارسی عنوان
کدام دارایی های واجد شرایط با الزامات سرمایه کمونتوونیک سازگار است؟
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
چکیده انگلیسی
Within the context of capital adequacy, we study comonotonicity of risk measures in terms of the primitives of the theory: acceptance sets and eligible, or reference, assets. We show that comonotonicity cannot be characterized by the properties of the acceptance set alone and heavily depends on the choice of the eligible asset. In fact, in many important cases, comonotonicity is only compatible with risk-free eligible assets. The incompatibility with risky eligible assets is systematic whenever the acceptability criterion is based on Value-at-Risk or any convex distortion risk measure such as Expected Shortfall. These findings qualify and arguably call for a critical appraisal of the meaning and the role of comonotonicity within a capital adequacy context.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 81, July 2018, Pages 18-26
Journal: Insurance: Mathematics and Economics - Volume 81, July 2018, Pages 18-26
نویسندگان
Pablo Koch-Medina, Cosimo Munari, Gregor Svindland,