相对风险价值——一种新的一致风险度量  

Relative Value-at-Risk: A New Kind of Coherent Risk Measure

作　　者：胡德焜[1] 董钢[1] 须佶成[1] 

机构地区：[1]北京大学数学科学学院,北京100871

出　　处：《北京大学学报（自然科学版）》2006年第5期598-603,共6页Acta Scientiarum Naturalium Universitatis Pekinensis

基　　金：国家自然科学基金资助项目(19831020)

摘　　要：提出了一种新的风险度量指标———相对风险价值(RVaR)。它在风险控制、保险、最佳估计等方面都有明确的直观意义,并且满足一致性、风险回避性以及与多种常见序相容的合理性要求,较好地弥补了风险价值的理论缺陷。本文提出的确定RVaR的准则,保证在正态条件下所确定的RVaR与VaR相同。此外还给出并证明了RVaR的表示性公式,讨论了RVaR在风险交换和资本分配等问题上的应用。A new coherent risk measure called Relative Value-at-risk（RVaR） was proposed. As a intuitional and meaningful index in insurance and risk control, RVaR has many good properties and is consistent with several often used orders. We offer a criterion to determine the value of parameter 19 and RVaR. Based on the criterion, RVaR is identical with VaR for the normal-distributed risk, bigger than VaR for the fat-tail risk and smaller than VaR for the thin-tail risk. We also prove the representation formula of RVaR and illuminate its purport. Finally, RVaR is applied in risk exchange model and capital allocation model.

关 键 词：相对风险价值 风险价值 一致风险度量 资本分配 风险交换 

分 类 号：F830[经济管理—金融学] F224