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- W1904914910 abstract "For catastrophe losses, the conventional risk finance paradigm of enterprise risk management identifies transfer, as opposed to pooling or avoidance, as the preferred solution. However, this analysis does not necessarily account for differences between light‐ and heavy‐tailed characteristics of loss portfolios. Of particular concern are the decreasing benefits of diversification (through pooling) as the tails of severity distributions become heavier. In the present article, we study a loss portfolio characterized by nonstochastic frequency and a class of Lévy‐stable severity distributions calibrated to match the parameters of the Pareto II distribution. We then propose a conservative risk finance paradigm that can be used to prepare the firm for worst‐case scenarios with regard to both (1) the firm's intrinsic sensitivity to risk and (2) the heaviness of the severity's tail." @default.
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- W1904914910 date "2012-10-18" @default.
- W1904914910 modified "2023-10-16" @default.
- W1904914910 title "Risk Finance for Catastrophe Losses with Pareto-Calibrated Lévy-Stable Severities" @default.
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- W1904914910 doi "https://doi.org/10.1111/j.1539-6924.2012.01906.x" @default.
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