eng
aksjomaty miary ryzyka
2017
In the article the author introduce the additional axiom of measure of risk and checks, mathematically proving, which well-known functions of risk fulfill this additional axiom. This will be conducted for functions such as: Value at Risk, Expected Shortfall, Median, Absolute Median Deviation, Maximum, Maximum Loss, Half Range, and Arithme- tic Average. In other words, the purpose of the paper is studying which of the above func- tions fulfill the additional axiom of measure of risk, which can enrich Arzner’s and other axioms. This axiom is not a consequence of Arzner’s and other axioms. Furthermore, the author researches mathematically if the mentioned functions of risk retain their properties after replacing the partial order with the stochastic order. Finally the author presents the new measure of risk which fulfills all the axioms of measure of risk and the additional axiom
ES
oczekiwany niedobór
DOI: 10.15611/ekt.2017.2.08
Ekonometria = Econometrics, 2017, Nr 2 (56), s. 116-126
Ekonometria = Econometrics, 2017, Nr 2 (56)
artykuł
koherentność
axioms of risk measure
Axiomatic extension of risk measurement
VaR
Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
coherence
Khemissi, Eliza
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