[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.
Disciplines :
Mathematics
Author, co-author :
Föllmer, Hans ; University of Luxembourg > Faculty of Science, Technology and Communication (FSTC) > Mathematics Research Unit
Knispel, Thomas
External co-authors :
yes
Language :
English
Title :
Convex Capital Requirements for Large Portfolios
Publication date :
September 2012
Main work title :
Stochastic Analysis and Applications to Finance. Essays in Honour of Jia-an Yan