References of "Knispel, Thomas"
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See detailConvex Risk Measures: Basic Facts, Law-invariance and beyond, Asymptotics for Large Portfolios
Föllmer, Hans UL; Knispel, Thomas

in MacLean, Leonard C.; Ziemba, William T. (Eds.) Handbook of the Fundamentals of Financial Decision Making (2013)

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See detailConvex Capital Requirements for Large Portfolios
Föllmer, Hans UL; Knispel, Thomas

in Stochastic Analysis and Applications to Finance. Essays in Honour of Jia-an Yan (2012)

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 ... [more ▼]

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. [less ▲]

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