Document type
ArticleVersion
Published versionPublication date
All rights reserved
Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/181103
An examination of the tail contribution to distortion risk measures
Journal Title
Director/Tutor
Journal ISSN
Volume Title
Related resource
Abstract
Extreme losses are specially relevant in the finance and insurance sectors. Here, we analyze the tail behavior of risks and its influence on risk measures. Specifically, we examine the part of the risk value of a distortion risk measure (DRM) that is attributable to extreme losses. We analyze the additive properties of tail contributions to risk values when several risks are aggregated. We show that the partial contributions are subadditive if the distortion function is concave in the tail. We examine the tail behavior for quantile-based DRMs, including value-at-risk and tail value-at-risk. We conclude that such an evaluation will allow decision makers to obtain relevant information about the contribution of extreme losses to risk values and about the fraction of the diversification benefit attributable to the tails. An example is used to illustrate our results.
Subject
Subject (English)
Citation
Citation
SANTOLINO, Miguel, et al. An examination of the tail contribution to distortion risk measures. Journal of Risk. 2021. Vol. 23, num. 6. ISSN 1465-1211. [consulted: 7 of June of 2026]. Available at: https://hdl.handle.net/2445/181103