标题： 指数谱风险度量 显示英文标题

标题： Exponential Spectral Risk Measures

摘要： 谱风险度量是吸引人的风险度量，因为它们允许用户获得反映其主观风险规避的风险度量。 本文研究基于指数效用函数的谱风险度量，并发现这些风险度量具有良好的直观性质。 它还讨论了如何使用数值积分方法进行估计，以及如何使用参数引导法估计它们的置信区间。 示例结果表明，在损失服从正态分布的情况下，使用这些方法获得的估计指数谱风险度量非常精确。 显示英文摘要

摘要： Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their subjective risk-aversion. This paper examines spectral risk measures based on an exponential utility function, and finds that these risk measures have nice intuitive properties. It also discusses how they can be estimated using numerical quadrature methods, and how confidence intervals for them can be estimated using a parametric bootstrap. Illustrative results suggest that estimated exponential spectral risk measures obtained using such methods are quite precise in the presence of normally distributed losses.