2023 Australasian Actuarial Education and Research Symposium

Fabio Gomez

UNSW

Robustness of the Higher Moment risk measure: embracing qualitative and quantitative aspects

This is joint work with Jose Blanchet, Spiridon Penev, Qihe Tang

The Higher Moment (HM) risk measure offers a broader perspective on risk assessment, encompassing expected shortfall and accommodating a risk aversion parameter. This study delves into several robustness considerations associated with the HM risk measure. Our analysis establishes the robustness of the HM risk measure against optimization, aligning with the recent framework proposed by Embrechts, Schied and Wang (2022, Operations Research). Building upon the HM risk measure, we delve into distributionally robust optimization for linear portfolios. Moreover, we revisit the domains of risk parity and capital allocation under ambiguity, leveraging the Wasserstein distance to quantify such ambiguity.