M. A. Sordo, A. Suárez Llorens, A. J. Bello
Conditional risk measures (or co-risk measures) and risk contribution measures are increasingly used in actuarial portfolio analysis to evaluate the systemic risk, which is related to the risk that the failure or loss of a component spreads to another component or even to the whole portfolio: while co-risk measures are risk-adjusted versions of measures usually employed to assess isolate risks, risk contribution measures quantify how a stress situation for a component affects another one. In this paper, we provide sufficient conditions under which two random vectors could be compared in terms of CoVaR (conditional value-at-risk), CoES (conditional expected shortfall) and different risk contribution measures. Conditions are given in terms of the increasing convex order, the dispersive order and the excess wealth order of the marginals under some assumptions of positive dependence.
Palabras clave / Keywords: conditional risk measures, risk contribution measures, stochastic orders, dependence
Programado
Sesión GT12-1 Ordenaciones Estocásticas y sus Aplicaciones: Aplicaciones de los Órdenes Estocásticos a Finanzas y Actuariales (OEA-1). Organizador: Alfonso Suárez Llorens
29 de mayo de 2018 10:30
Sala 7
