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Title:

Capturing parameter uncertainty with convex risk measures

Document type:
Zeitschriftenaufsatz
Author(s):
Bannör, K. F.; Scherer, M.
Non-TUM Co-author(s):
nein
Cooperation:
-
Abstract:
Adequately specifying the parameters of a financial or actuarial model is challenging. In case of historical estimation, uncertainty arises through the estimator's volatility and possible bias. In case of market implied parameters, the solution of a calibration to market data might not be unique or the numerical routine returns a local instead of a global minimum. This paper provides a new method based on convex risk measures to quantify parameter risk and to translate it into prices, extending...     »
Intellectual Contribution:
Discipline-based Research
Journal title:
European Actuarial Journal
Year:
2013
Journal volume:
3
Journal issue:
1
Pages contribution:
97-132
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:10.1007/s13385-013-0070-z
Status:
Verlagsversion / published
TUM Institution:
Lehrstuhl für Finanzmathematik
Format:
Text
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
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