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	Relative value-at-risk: a new kind of coherent risk measure
	Hu, Dekun ; Dong, Gang ; Xu, Jicheng
	2006
英文摘要	A new coherent risk measure called Relative Value-at-risk(RVaR) was proposed. As a intuitional and meaningful index in insurance and risk control, RVaR has many good properties and is consistent with several often used orders. We offer a criterion to determine the value of parameter p and RVaR. Based on the criterion, RVaR is identical with VaR for the normal-distributed risk, bigger than VaR for the fat-tail risk and smaller than VaR for the thin-tail risk. We also prove the representation formula of RVaR and illuminate its purport. Finally, RVaR is applied in risk exchange model and capital allocation model.; EI; 0; 5; 598-603; 42
语种	英语
出处	EI
出版者	北京大学学报 自然科学版
内容类型	其他
源URL	[http://hdl.handle.net/20.500.11897/315485]
专题	数学科学学院
推荐引用方式 GB/T 7714	Hu, Dekun,Dong, Gang,Xu, Jicheng. Relative value-at-risk: a new kind of coherent risk measure. 2006-01-01.

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