DSA Seminar - Georgios Pitselis (University of Piraeus, Greece)
Another Look at Risk Measures in a Credibility Framework
Monday 10 April 2017 (14h00 - 15h00) - Extranef - 109
Here, we introduce a new type of risk measures, the credible risk measures, in order to capture the risk of an individual contract (or financial portfolio) as well as the industry risk consisting of several, similar but not identical, contracts (or financial portfolios). We show how risk measures can be embedded within the framework of credibility theory in the regression case. Examples are given based on the Fama/French data.