Modern risk systems
Papers published in 2005

Companion sites: Russian version

  1. Novosyolov A.A. Insurance premium as a base for insurance company solvency. "Financial management in an insurance company", 2005, 2, p. 87-97. (in Russian)

    Abstract. The paper is devoted to premium calculation methods based on the central limit theorem. It has been shown that using this theorem without checking its applicability may cause significant calculation errors. Examples of such errors are presented with interpretation in terms of insurance. Tricks allowing error reduction have been proposed.

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  2. Novosyolov A.A. Model risk in estimating VaR and other quantile risk measures. "Financial risk management", 2005, 4, p. 53-57.(in Russian)

    Abstract. Calculation of VaR and other quantile risk measures is often implemented without taking model risk into account. This may lead to significant errors in calculated VaR value. As a result actual chances of unexpected loss in a bank portfolio might be much more than calculated. The paper describes some sources of model risk, points to its unwanted consequences and presents a number of methods of model risk reduction.

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  3. A.Novosyolov Risk management of an insurance company portfolio. "Financial risk management", 2005, 2, p. 63-68. (in Russian)

    Abstract. The standard method of insurance premium calculation for non-life insurance posesses an interior contradiction. The paper presents another method which takes market demand into account. The problems of global portfolio risk minimization and local risk sensitivity have been stated and solved.

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  4. A.Novosyolov Generalized coherent risk measures in decision-making under risk. Proceedings of the International Scientific School "Modelling and Analysis of Safety and Risk in Complex Systems", St.-Petersburg, 2005, p. 145-150.

    Abstract. Coherent risk measures have lately become a hot topic in both theoretical research and practical applications. Since they possess a number of disadvantages, some generalizations and modifications have been proposed recently. In the present paper we propose one more generalization which holds a number of attractive properties. A representation theorem for the risk measures class has been obtained, properties of functionals have been established, partial cases and examples are also presented.

  5. A.Novosyolov Generalized coherent risk measures. Proceedings of the IV All-Russian FAM conference, v. 1, Krasnoyarsk, 2005. (translated from Russian)

    Abstract. The generalized coherent risk measures are introduced and studied in the paper. Some properties and a theorem on extremal representation have been established. Examples and partial cases have also been considered.

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