基于范围的风险度量及其应用

IF 1.7 3区经济学 Q2 ECONOMICS

ASTIN Bulletin Pub Date : 2023-08-15 DOI:10.1017/asb.2023.28

M. Righi, F. Müller

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引用次数: 1

摘要

摘要:本文提出了一系列基于区间的风险度量，以推广风险值(VaR)在区间风险值(RVaR)公式中的作用，并考虑了由尾部水平引起的其他风险度量。我们详细讨论了这类测度及其理论性质和表示。此外，我们提出了一个分数函数来评价这些措施的预测。为了以一种实用的方式呈现所提出的概念，我们使用蒙特卡罗模拟和真实的金融数据进行了说明。

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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Range-based risk measures and their applications

Abstract We propose a family of range-based risk measures to generalize the role of value at risk (VaR) in the formulation of range value at risk (RVaR) considering other risk measures induced by a tail level. We discuss this type of measure in detail and its theoretical properties and representations. Moreover, we present a score function to evaluate the forecasts of these measures. In order to present the proposed concepts in an applied way, we performed illustrations using Monte Carlo simulations and real financial data.

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来源期刊

ASTIN Bulletin 数学-数学跨学科应用

CiteScore

3.20

自引率

5.30%

发文量

审稿时长

>12 weeks

期刊介绍： ASTIN Bulletin publishes papers that are relevant to any branch of actuarial science and insurance mathematics. Its papers are quantitative and scientific in nature, and draw on theory and methods developed in any branch of the mathematical sciences including actuarial mathematics, statistics, probability, financial mathematics and econometrics.