Risk Management with Tail Quasi-Linear Means

2019/02/19 by Nicole Bäuerle, Bäuerle, Nicole, Tomer Shushi +1
Decision Sciences · #91B30 #FOS: Economics and business #Risk Management (q-fin.RM) #Risk and Portfolio Optimization

paper · doi:10.48550/arxiv.1902.06941

openalex publication_date 2019/02/19 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We generalize Quasi-Linear Means by restricting to the tail of the risk distribution and show that this can be a useful quantity in risk management since it comprises in its general form the Value at Risk, the Tail Value at Risk and the Entropic Risk Measure in a unified way. We then investigate the fundamental properties of the proposed measure and show its unique features and implications in the risk measurement process. Furthermore, we derive formulas for truncated elliptical models of losses and provide formulas for selected members of such models.

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