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A new risk management model using quantile-based risk measure, with applications to non-normal distributions

机译：使用基于分位数的风险度量的新风险管理模型，适用于非正态分布

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摘要

In this paper we propose a new risk optimization model, based on Limited Value-at-Risk measure. We determine the analytical form of the LVaR measure corresponding to the aggregate loss in a stop-loss reinsurance model and formulate an optimization problem using this new risk measure. Necessary and sufficient conditions for the existence of the optimal solution are derived. The solution obtained extends the results of [4] and [5]. The Limited Value-at-Risk measure can be successfully used to evaluate risk and to solve optimization problems in the case of non-normal distributions. The results obtained are illustrated using simulations. Computational results are provided.
机译：在本文中，我们提出了一种新的基于风险有限值度量的风险优化模型。我们确定与止损再保险模型中的总损失相对应的LVaR度量的分析形式，并使用此新的风险度量来制定优化问题。得出存在最优解的充要条件。获得的解决方案扩展了[4]和[5]的结果。在非正态分布的情况下，“有限风险值”度量可成功用于评估风险并解决优化问题。使用仿真说明了获得的结果。提供了计算结果。

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