Question: 6. Let L be a loss random variable with finite second moment. Prove or disprove each of the following risk measure as coherent risk measure.

6. Let L be a loss random variable with finite second moment. Prove or disprove each of the following risk measure as coherent risk measure. If it is not a coherent risk measure, state the axiom(s) that are violated. (a) E[L], (b) Var (L), (c) Var(L) + KE[L], where k is a constant

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock blur-text-image

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Students Have Also Explored These Related Mathematics Questions!

Let L be a loss random variable with finite second moment. Prove or disprove each of the following risk measure as coherent risk measure. If it is not a coherent risk measure, state the axiom (s)...

Let L be a loss random variable with finite second moment. Prove or disprove each of the following risk measure as coherent risk measure. If it is not a coherent risk measure, state the axiom(s) that...

Consider the Markov Chain, Xn, on the states i = 0, 1, 2, . . . with transition matrix given by pi,i1 = p i = 1, 2, . . . pi,i+1 = 1 p i = 0, 1, . . . p0,0 = p where 0

lup ] (d) Show how a generating (or "mother") wavelet (x) can spawn a family of "daughter" wavelets jk(x) by simple shifting and scaling operations, and explain the advantages of representing...

Write an alternative definition that is tail-recursive (iterative) and makes use of accumulator variables. [10 marks] Explain why your alternative definition executes more efficiently. [3 marks] 1...

1 2.3 Definition of a Discrete Probability Function Definition: Let S be a discrete sample space from some experiment. A function P, defined on all events in S, is said to be a probability function...

Submitted to Management Science manuscript MS-0001-1922.65 Authors are encouraged to submit new papers to INFORMS journals by means of a style file template, which includes the journal title....

The Basics of Financial Mathematics Spring 2003 Richard F. Bass Department of Mathematics University of Connecticut c These notes are 2003 by Richard Bass. They may be used for personal use or class...

Please explain to me clearly and show how to do the two suppositions in the (question) file. Please take a look at the (notes) file and see the material up to the questions will be needed to answer...

U.S. Copyright Law (title 17 of U.S. code) governs the reproduction and redistribution of copyrighted material. Downloading this document for the purpose of redistribution is prohibited. Chapter 15...

1. A corporate bond with a semi-annual pay coupon of 4.375% matures on January 15, 2036. The yield to maturity for bonds of this tenor and rating is 3.892%. Compute the flat and full price of the...

Discuss how decisions led to the negative behavior and how a different decision could have prevented the negative outcome. Network analysis systems exist within organization and therefore are...

You are given the following direct quotes: USD/ZAR = 13.5010/50 USD/CAD = 0.9545/04 The cross bid rate for CAD/ZAR is? Question 17Select one: a. 14.0577 b. 14.0653 c. 14.1498 d. 14.1603

Voluntary consent means each party freely enters into a contract and agrees to be bound by it

Revisit assignments you have produced previously for your course. What feedback have tutors made about your referencing technique? How confident do you feel about referencing? What will you do to...

What is your preferred learning style? In which environment do you work best? What are the best conditions for you to write your literature review?

In your writing are you able to distinguish between facts and opinions? To what extent is your writing style objective and impersonal? What feedback have you received on this in past assignments?