英文标题：
《Risk Management with Tail Quasi-Linear Means》
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作者：
Nicole B\\\"auerle and Tomer Shushi
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最新提交年份：
2020
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英文摘要：
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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中文摘要：
我们通过限制风险分布的尾部来推广拟线性平均值，并表明这在风险管理中是一个有用的量，因为它以统一的方式包括风险价值、风险尾部价值和熵风险度量。然后，我们研究了所提出的度量的基本属性，并展示了其独特的特征和在风险度量过程中的含义。此外，我们还推导了截断椭圆损失模型的公式，并为此类模型的选定成员提供了公式。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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