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Conceptualizing Robustness in Risk Management
Year Of Publication: 2012
Month Of Publication: May
Resource Link: Click here to open
Pages: 20
Download Count: 0
View Count: 1347
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 1-3-2014
Publisher: Administrator
Summary
In this paper, we answer the question how the robustness requirements can be consistently incorporated into the quantitative risk management process of a financial institution, with a special focus on insurance. We advocate the Wasserstein metric as the canonical metric for approximations in robust risk management. Writing risk measures as statistical functionals, we relate them to this approximation approach. This allows us to use results from robust statistics concerning continuity and differentiability of such functionals. We illustrate our approach via a practical application.
This document may be downloaded from SSRN.com without charge by clicking the "Buy from Publisher" button. (accessed 2014-01-03)
Author(s)
Stahl, Gerhard Sign in to follow this author
Kiesel, Rudiger T. Sign in to follow this author
Zheng, Jinsong Sign in to follow this author
Ruehlicke, Robin Sign in to follow this author
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