Searcharxiv⌕ Search

arXiv subjects

Andreas Haier

Publications and source records attributed to Andreas Haier.

3 recordsLinked to original sources
arXiv2019

Multivariate risk measures in the non-convex setting

The family of admissible positions in a transaction costs model is a random closed set, which is convex in case of proportional transaction costs. However, the convexity fails, e.g. in case of fixed transaction costs or when only a finite number of transfers are possible. The paper presents an approach to measure risks of such positions based on the idea of considering all selections of the portfolio and checking if one of them is acceptable. Properties and basic examples of risk measures of non-convex portfolios are presented.

q-fin.RM↗
arXiv2016

Intragroup transfers, intragroup diversification and their risk assessment

When assessing group solvency, an important question is to what extent intragroup transfers may be considered, as this determines to which extent diversification can be achieved. We suggest a framework to describe the families of admissible transfers that range from the free movement of capital to excluding any transactions. The constraints on admissible transactions are described as random closed sets. The paper focuses on the corresponding solvency tests that amount to the existence of acceptable selections of the random sets of admissible transactions.

q-fin.RM↗