论文标题
在保险中汇总多个信息源和应用程序的凸风险措施
Convex Risk Measures for the Aggregation of Multiple Information Sources and Applications in Insurance
论文作者
论文摘要
我们根据FréchetMean的概念提出了一类新型的凸风险度量，目的是为了处理不确定性，这是由有关感兴趣的风险因素的多个信息源引起的。提出的风险衡量可以牢固地表征公司的暴露，通过将各个来源中可用的部分信息滤除到感兴趣的风险因素的汇总模型中。重要的是，拟议的风险可以以封闭的分析形式表示，从而可以进行有趣的定性解释以及比较静态，从而促进其在保险公司的日常风险管理过程中的使用。在不确定性下，两种具体申请，资本风险分配和PREMIA计算说明了拟议的风险措施的潜在使用。
We propose a novel class of convex risk measures, based on the concept of the Fréchet mean, designed in order to handle uncertainty which arises from multiple information sources regarding the risk factors of interest. The proposed risk measures robustly characterize the exposure of the firm, by filtering out appropriately the partial information available in individual sources into an aggregate model for the risk factors of interest. Importantly, the proposed risks can be expressed in closed analytic forms allowing for interesting qualitative interpretations as well as comparative statics and thus facilitate their use in the everyday risk management process of the insurance firms. The potential use of the proposed risk measures in insurance is illustrated by two concrete applications, capital risk allocation and premia calculation under uncertainty.
