Reference : Convex Capital Requirements for Large Portfolios
Parts of books : Contribution to collective works
Physical, chemical, mathematical & earth Sciences : Mathematics
http://hdl.handle.net/10993/26288
Convex Capital Requirements for Large Portfolios
English
Föllmer, Hans [University of Luxembourg > Faculty of Science, Technology and Communication (FSTC) > Mathematics Research Unit >]
Knispel, Thomas []
Sep-2012
Stochastic Analysis and Applications to Finance. Essays in Honour of Jia-an Yan
World Scientific Publishing Company
169-195
No
978-981-4383-57-8
[en] For a large homogeneous portfolio of financial positions, we study the asymptotic behavior of the capital requirement per position defined in terms of a convex monetary risk measure. In an actuarial context, this capital requirement can be seen as a premium per contract. We show that the premia converge to the fair premium as the portfolio becomes large, and we give a precise description of the decay of the risk premia. The analysis is carried out first for a law-invariant convex risk measure and then in a situation of model ambiguity.
http://hdl.handle.net/10993/26288
10.1142/9789814383585_0010

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