Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077064 | Insurance: Mathematics and Economics | 2009 | 7 Pages |
Abstract
This article discusses the determination of risk capital based on “aversion” functions. Aversion functions weigh different outcomes according to perceived severity. Many practical and popular risk measures are usefully viewed in terms of aversion functions including those arising from distortion operators and risk margin loadings. The approach of this paper builds on, unifies, and extends existing disparate approaches discussed in the literature. Analytical and computer generated illustrations are given as well as suggestions for the practical determination of aversion functions.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Weihao Choo, Piet de Jong,