On a robust risk measurement approach for capital determination errors minimization
Risk Management
2020-10-27 v4
Abstract
We propose a robust risk measurement approach that minimizes the expectation of overestimation plus underestimation costs. We consider uncertainty by taking the supremum over a collection of probability measures, relating our approach to dual sets in the representation of coherent risk measures. We provide results that guarantee the existence of a solution and explore the properties of minimizer and minimum as risk and deviation measures, respectively. An empirical illustration is carried out to demonstrate the use of our approach in capital determination.
Cite
@article{arxiv.1707.09829,
title = {On a robust risk measurement approach for capital determination errors minimization},
author = {Marcelo Brutti Righi and Fernanda Maria Müller and Marlon Ruoso Moresco},
journal= {arXiv preprint arXiv:1707.09829},
year = {2020}
}