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- W4242534416 abstract "Sometimes there’s no closed-form analytical solutions for the risk measure of aggregate losses representing, say, a company’s losses in each country or city it operates in, a portfolio of losses subdivided by investment, or claims made by clients to an insurance company. Assuming there’s enough data to assign a distribution to those losses, we examine the Rearrangement Algorithm’s ability to numerically compute the Expected Shortfall and Exponential Premium Principle/Entropic Risk Measure of aggregate losses. A more efficient discretization scheme is introduced and the algorithm is extended to the Entropic Risk Measure which turns out to have a smaller uncertainty spread than the Expected Shortfall at least for the cases that we examined." @default.
- W4242534416 created "2022-05-12" @default.
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- W4242534416 date "2021-05-24" @default.
- W4242534416 modified "2023-09-28" @default.
- W4242534416 title "Rearrangement Algorithm in Risk Aggregation" @default.
- W4242534416 doi "https://doi.org/10.32920/ryerson.14662176" @default.
- W4242534416 hasPublicationYear "2021" @default.
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