Scale-free and location-free risk measures

• Catalina Bolancé ^[1] ; Alejandra Cabaña ^[2] ; Albert Pitarque ^[2] ; Isabel Serra
  1. [1] Universitat de Barcelona

     Universitat de Barcelona

     Barcelona, España

     
  2. [2] Universitat Autònoma de Barcelona

     Universitat Autònoma de Barcelona

     Barcelona, España

     
• Localización: Contributions to risk analysis: risk 2018 / coord. por José María Sarabia Alegría, Faustino Prieto Mendoza, Montserrat Guillén Estany, 2018, ISBN 978-84-9844-683-8, págs. 87-91
• Idioma: inglés
• Texto completo no disponible (Saber más ...)
• Resumen

  • A discussion around characterization risk profile is propose, bearing in mind that a risk profiles should be scale-free and location-free with respect to the stochastic characterization of losses. The Extreme Value Index (EVI) is introduced as a measure of risk profile. Statistical learning methodologies are proposed and an illustrative example with empirical data is shown.