Can A Coherent Risk Measure Be Too Subadditive?

J. Dhaene; R. J. A. Laeven; S. Vanduffel; G. Darkiewicz; M. J. Goovaerts

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Can A Coherent Risk Measure Be Too Subadditive?

机译：连贯的风险衡量方法是否可以过亚加性？

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reasonable cost function. Within the class of concave distortion risk measures, of which the elements, in contrast to the Value-at-Risk, exhibit the subaddi-tivity property, we find that, again for an explicitly specified confidence level, the Tail-Value-at-Risk is the optimal capital requirement satisfying the regulator's condition.

机译：合理的成本函数。在凹形失真风险度量的类别中，相对于“风险价值”，这些元素表现出亚可归性属性，我们发现，对于明确指定的置信度，“尾部价值”为风险是满足监管机构条件的最佳资本要求。

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《The journal of risk and insurance》 |2008年第2期|365-386|共22页
作者
J. Dhaene; R. J. A. Laeven; S. Vanduffel; G. Darkiewicz; M. J. Goovaerts;
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2. Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures [J] . Cai Jun, Wang Ying, Mao Tiantian Insurance . 2017,第jula期

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3. Expected Shortfall, spectral risk measures, and the aggravating effect of background risk, or: risk vulnerability and the problem of subadditivity [J] . Brandtner Mario Journal of banking & finance . 2018,第APRa期

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4. Short-term International Capital Flows Risk Measure Based on Coherent Risk Measure [C] . Hui MA International conference on construction and real estate management . 2014

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5. Systemic Risk Measures: DistVaR and Other "Too Big To Fail" Risk Measures. [D] . Klyman, Jared. 2011

机译：系统性风险度量：DistVaR和其他“太大而不能失败”的风险度量。
6. Generalized Weyl–Heisenberg Algebra Qudit Systems and Entanglement Measure of Symmetric States via Spin Coherent States [O] . Mohammed Daoud, Maurice R. Kibler 2018

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7. Can a coherent risk measure be too subadditive? [O] . Dhaene Jan, Laeven Rob, Vanduffel Steven, 2008

机译：连贯的风险衡量标准是否可以过分叠加？

Can A Coherent Risk Measure Be Too Subadditive?

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