• Title of article

    The strictest common relaxation of a family of risk measures

  • Author/Authors

    Roorda، نويسنده , , Berend and Schumacher، نويسنده , , J.M.، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2011
  • Pages
    6
  • From page
    29
  • To page
    34
  • Abstract
    Operations which form new risk measures from a collection of given (often simpler) risk measures have been used extensively in the literature. Examples include convex combination, convolution, and the worst-case operator. Here we study the risk measure that is constructed from a family of given risk measures by the best-case operator; that is, the newly constructed risk measure is defined as the one that is as restrictive as possible under the condition that it accepts all positions that are accepted under any of the risk measures from the family. In fact we define this operation for conditional risk measures, to allow a multiperiod setting. We show that the well-known VaR risk measure can be constructed from a family of conditional expectations by a combination that involves both worst-case and best-case operations. We provide an explicit description of the acceptance set of the conditional risk measure that is obtained as the strictest common relaxation of two given conditional risk measures.
  • Keywords
    Nonconvex risk measures , VALUE AT RISK , Best-case operator
  • Journal title
    Insurance Mathematics and Economics
  • Serial Year
    2011
  • Journal title
    Insurance Mathematics and Economics
  • Record number

    1544101