This paper proposes a new and integrated approach of measuring risk and the associated cost. The model is developed from the simple practical example of a bond spread and then generalized. It is shown that is also encompasses the popular measures Value at Risk and Tail Value at Risk. A sufficient condition is established under which the measure is coherent and in an application section market data is used to parametrize the measure and evaluate the capital cost of an example company.
Society of Actuaries (US)
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