Existence and Computation of the Aumann-Serrano Index of Riskiness and Its Extension

IF 0.3 4区经济学 Q4 BUSINESS, FINANCE

Journal of Risk Pub Date : 2013-11-27 DOI:10.2139/ssrn.1156933

K. Schulze

引用次数: 34

Abstract

Aumann and Serrano (2008) introduce the index of riskiness to quantify the risk of a gamble. We discuss for which gambles this index of riskiness exists by considering the acceptance behavior of CARA-agents. Since for several relevant distributions riskiness is not defined, we suggest an extension of riskiness to all gambles. We prove that this extension is unique and that it satisfies the central duality axiom. Finally, we derive closed-form solutions of extended riskiness and list some applications.

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风险Aumann-Serrano指数的存在性、计算及其推广

Aumann和Serrano(2008)引入了风险指数来量化赌博的风险。我们通过考虑cara -agent的接受行为来讨论该风险指数存在于哪些赌博。由于一些相关的分布没有定义风险，我们建议将风险扩展到所有赌博。我们证明了这个扩展是唯一的，并且它满足中心对偶公理。最后，给出了扩展风险的闭型解，并列举了一些应用。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Risk BUSINESS, FINANCE-

CiteScore

1.00

自引率

14.30%

发文量

期刊介绍： This international peer-reviewed journal publishes a broad range of original research papers which aim to further develop understanding of financial risk management. As the only publication devoted exclusively to theoretical and empirical studies in financial risk management, The Journal of Risk promotes far-reaching research on the latest innovations in this field, with particular focus on the measurement, management and analysis of financial risk. The Journal of Risk is particularly interested in papers on the following topics: Risk management regulations and their implications, Risk capital allocation and risk budgeting, Efficient evaluation of risk measures under increasingly complex and realistic model assumptions, Impact of risk measurement on portfolio allocation, Theoretical development of alternative risk measures, Hedging (linear and non-linear) under alternative risk measures, Financial market model risk, Estimation of volatility and unanticipated jumps, Capital allocation.