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Research Paper | Mathematics | Nigeria | Volume 2 Issue 7, July 2013
Risk Measurement Strategy; An Alternative to Merging that Offers A Capital Relief in Risk Management
Godswill. U. Achi | Ogwo Obiageri | Solomon Okechukwu
Abstract: In this paper, we suggest the authenticity of a distortion risk measurement strategy that can be used instead of the risk management slogan Avoiding merging increases shortfall which justifies the well known advice dont put all your eggs in one basket. There are lots of distortion risk measures like conditional value at risk (expected shortfall) or the Wang transform risk measure, in spite of being coherent they do not always provide incentive for risk management because of lack of giving a capital relief in some simple two scenarios situation of reduced risk. To prevent the existence of such pathological counter examples, we introduce a Weibull distortion measure that preserves the higher degree stop loss order and offer a capital relief.
Keywords: coherent risk measure, tail free distortion risk measures, distortion risk measures, merging, Weibull distortion measure
Edition: Volume 2 Issue 7, July 2013,
Pages: 27 - 32
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Research Paper, Mathematics, Iraq, Volume 6 Issue 12, December 2017
Pages: 1939 - 1951Soret and Dufour Effects in MHD Peristalsis of Pseudoplasticnano Fluid with Porous Medium in Tapered Channel
Mohammed R. Salman [2] | Ahmed M. Abdulhadi [5]
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Research Paper, Mathematics, India, Volume 4 Issue 12, December 2015
Pages: 2079 - 2090Ion Slip and Dufour Effect on Unsteady Free Convection Flow past an Infinite Vertical Plate with Oscillatory Suction Velocity and Variable Permeability
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