Are quantile risk measures suitable for risk-transfer decisions?
Autor(a) principal: | |
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Data de Publicação: | 2012 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.5/27754 |
Resumo: | Although controversial from the theoretical point of view, quantile risk measures are widely used by institutions and regulators. In this paper, we use a unified approach to find the optimal treaties for an agent who seeks to minimize one of these measures, assuming premium calculation principles of various types. We show that the use of measures like Value at Risk or Conditional Tail Expectation as optimization criteria for insurance or reinsurance leads to treaties that are not enforceable and/or are clearly bad for the cedent. We argue that this is one further argument against the use of quantile risk measures, at least for the purpose of risk-transfer decisions. |
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Are quantile risk measures suitable for risk-transfer decisions?Coherent Risk MeasuresConditional Tail ExpectationRiskRisk MeasuresOptimal ReinsuranceQuantile Risk MeasuresTruncated Stop LossValue at RiskAlthough controversial from the theoretical point of view, quantile risk measures are widely used by institutions and regulators. In this paper, we use a unified approach to find the optimal treaties for an agent who seeks to minimize one of these measures, assuming premium calculation principles of various types. We show that the use of measures like Value at Risk or Conditional Tail Expectation as optimization criteria for insurance or reinsurance leads to treaties that are not enforceable and/or are clearly bad for the cedent. We argue that this is one further argument against the use of quantile risk measures, at least for the purpose of risk-transfer decisions.ElsevierRepositório da Universidade de LisboaGuerra, ManuelCenteno, M. de Lourdes2023-05-11T15:27:29Z20122012-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/27754engGuerra, Manuel and M. de Lourdes Centeno .(2012). “Are quantile risk measures suitable for risk-transfer decisions?”. Insurance: Mathematics and Economics, Volume 50, Issue 3: pp. 446-461 .(Search PDF in 2023).0167-668710.1016/j.insmatheco.2012.02.006info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-05-14T01:30:51Zoai:www.repository.utl.pt:10400.5/27754Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:52:02.063314Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Are quantile risk measures suitable for risk-transfer decisions? |
title |
Are quantile risk measures suitable for risk-transfer decisions? |
spellingShingle |
Are quantile risk measures suitable for risk-transfer decisions? Guerra, Manuel Coherent Risk Measures Conditional Tail Expectation Risk Risk Measures Optimal Reinsurance Quantile Risk Measures Truncated Stop Loss Value at Risk |
title_short |
Are quantile risk measures suitable for risk-transfer decisions? |
title_full |
Are quantile risk measures suitable for risk-transfer decisions? |
title_fullStr |
Are quantile risk measures suitable for risk-transfer decisions? |
title_full_unstemmed |
Are quantile risk measures suitable for risk-transfer decisions? |
title_sort |
Are quantile risk measures suitable for risk-transfer decisions? |
author |
Guerra, Manuel |
author_facet |
Guerra, Manuel Centeno, M. de Lourdes |
author_role |
author |
author2 |
Centeno, M. de Lourdes |
author2_role |
author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Guerra, Manuel Centeno, M. de Lourdes |
dc.subject.por.fl_str_mv |
Coherent Risk Measures Conditional Tail Expectation Risk Risk Measures Optimal Reinsurance Quantile Risk Measures Truncated Stop Loss Value at Risk |
topic |
Coherent Risk Measures Conditional Tail Expectation Risk Risk Measures Optimal Reinsurance Quantile Risk Measures Truncated Stop Loss Value at Risk |
description |
Although controversial from the theoretical point of view, quantile risk measures are widely used by institutions and regulators. In this paper, we use a unified approach to find the optimal treaties for an agent who seeks to minimize one of these measures, assuming premium calculation principles of various types. We show that the use of measures like Value at Risk or Conditional Tail Expectation as optimization criteria for insurance or reinsurance leads to treaties that are not enforceable and/or are clearly bad for the cedent. We argue that this is one further argument against the use of quantile risk measures, at least for the purpose of risk-transfer decisions. |
publishDate |
2012 |
dc.date.none.fl_str_mv |
2012 2012-01-01T00:00:00Z 2023-05-11T15:27:29Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.5/27754 |
url |
http://hdl.handle.net/10400.5/27754 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Guerra, Manuel and M. de Lourdes Centeno .(2012). “Are quantile risk measures suitable for risk-transfer decisions?”. Insurance: Mathematics and Economics, Volume 50, Issue 3: pp. 446-461 .(Search PDF in 2023). 0167-6687 10.1016/j.insmatheco.2012.02.006 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Elsevier |
publisher.none.fl_str_mv |
Elsevier |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799131597077741568 |