Distortion risk measures and allocation methodologies

Date
2009
Editor(s)
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Yiğit, Taner
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Bilkent University
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Language
English
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Abstract

This study reviews the commonly used risk measures and allocation methodologies for risk capital. The method proposed by Tsanakas (2004) about dynamic capital allocation with distortion risk measures analyzed and for the cases when the events on which the liability processes are conditioned have zero probability, a new k-number approach is proposed which helps to behave risk-averse when correlations among liabilities are not accurate.

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