Measuring Risk When Expected Losses Are Unbounded Articles uri icon

published in

publication date

  • September 2014

start page

  • 411

end page

  • 424

issue

  • 4

international standard serial number (ISSN)

  • 2227-9091

abstract

  • This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those characterized by some Pareto distributions. Extensions of the conditional value at risk, the weighted conditional value at risk and other examples are given. Actuarial applications are analyzed, such as extensions of the expected value premium principle when expected losses are unbounded