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Activity Number: 502
Type: Contributed
Date/Time: Wednesday, August 6, 2014 : 10:30 AM to 12:20 PM
Sponsor: Business and Economic Statistics Section
Abstract #311141 View Presentation
Title: Analysis of Risk Measurement and Risk Adjustment
Author(s): Min Deng*+
Companies: University of Maryville of St. Louis
Keywords: Right Tail Risk ; Probability Distribution ; Risk Measurement ; Mixture Distribution ; Level of Risk Severity
Abstract:

How to measure the risk in the enterprise risk management process is very important, specially the tail risks. In the past, not many researchers pay attention to the tail risk, since it with the small probability. Recently, many researchers are interesting in the tail risk, because it represents the severity risk losses and it may cause severity financial crises. This paper focuses on how to measure, adjust, estimate, evaluate and mitigate the right tail risk. Some parametric families for loss distributions will be considered. Some common risk measures will be discussed and examples to illustrate the results will be given.


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