New Insurance Economics Study Results Reported from University of Waterloo (Tail subadditivity of distortion risk measures and multivariate tail…

New Insurance Economics Study Results Reported from University of Waterloo (Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures)

By a News Reporter-Staff News Editor at Insurance Weekly News -- Investigators publish new report on Economics - Insurance Economics. According to news reporting out of Waterloo, Canada, by VerticalNews editors, research stated, "In this paper, we extend the concept of tail subadditivity (Belles-Sampera et al., 2014a; Belles-Sampera et al., 2014b) for distortion risk measures and give sufficient and necessary conditions for a distortion risk measure to be tail subadditive. We also introduce the generalized GlueVaR risk measures, which can be used to approach any coherent distortion risk measure."

Financial supporters for this research include Natural Sciences and Engineering Research Council (NSERC) of Canada, National Science Foundation of China.

Our news journalists obtained a quote from the research from the University of Waterloo, "To further illustrate the applications of the tail subadditivity, we propose multivariate tail distortion (MTD) risk measures and generalize the multivariate tail conditional expectation (MTCE) risk measure introduced by Landsman et al. (2016). The properties of multivariate tail distortion risk measures, such as positive homogeneity, translation invariance, monotonicity, and subadditivity, are discussed as well."

According to the news editors, the research concluded: "Moreover, we discuss the applications of the multivariate tail distortion risk measures in capital allocations for a portfolio of risks and explore the impacts of the dependence between risks in a portfolio and extreme tail events of a risk portfolio in capital allocations."

For more information on this research see: Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures. Insurance Mathematics & Economics, 2017;75():105-116. Insurance Mathematics & Economics can be contacted at: Elsevier Science Bv, PO Box 211, 1000 Ae Amsterdam, Netherlands.

Our news journalists report that additional information may be obtained by contacting J. Cai, University of Waterloo, Dept. of Stat & Actuarial Sci, Waterloo, ON N2L 3G1, Canada. Additional authors for this research include Y. Wang and T.T. Mao.

Keywords for this news article include: Waterloo, Ontario, Canada, North and Central America, Insurance Economics, Economics, University of Waterloo.

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