Loading...
Please wait, while we are loading the content...
Similar Documents
Risk Measures and Theories of Choice
| Content Provider | Scilit |
|---|---|
| Author | Tsanakas, A. Desli, E. |
| Copyright Year | 2003 |
| Description | We discuss classes of risk measures in terms both of their axiomatic definitions and of the economic theories of choice that they can be derived from. More specifically, expected utility theory gives rise to the exponential premium principle, proposed by Gerber (1974), Dhaene et al. (2003), whereas Yaari's (1987) dual theory of choice under risk can be viewed as the source of the distortion premium principle (Denneberg, 1990; Wang, 1996). We argue that the properties of the exponential and distortion premium principles are complementary, without either of the two performing completely satisfactorily as a risk measure. Using generalised expected utility theory (Quiggin, 1993), we derive a new risk measure, which we call the distortion-exponential principle. This risk measure satisfies the axioms of convex measures of risk, proposed by Föllmer & Shied (2002a,b), and its properties lie between those of the exponential and distortion principles, which can be obtained as special cases. |
| Related Links | http://openaccess.city.ac.uk/5989/1/TsanakasDesli2003.pdf https://www.cambridge.org/core/services/aop-cambridge-core/content/view/E040EF8B87645763ABD879089A11E246/S1357321700004414a.pdf/div-class-title-risk-measures-and-theories-of-choice-div.pdf |
| Ending Page | 991 |
| Page Count | 33 |
| Starting Page | 959 |
| ISSN | 13573217 |
| e-ISSN | 20440456 |
| DOI | 10.1017/s1357321700004414 |
| Journal | British Actuarial Journal |
| Issue Number | 4 |
| Volume Number | 9 |
| Language | English |
| Publisher | Cambridge University Press (CUP) |
| Publisher Date | 2003-10-01 |
| Access Restriction | Open |
| Subject Keyword | British Actuarial Journal History and Philosophy of Science Risk Measures Premium Calculation Principles Coherent Measures of Risk Distortion Premium Principle Exponential Premium Principle Expected Utility Dual Theory of Choice Under Risk Generalised Expected Utility |
| Content Type | Text |
| Resource Type | Article |
| Subject | Statistics and Probability Economics and Econometrics Statistics, Probability and Uncertainty |
