Tytuł:

A note on VAR for the winner’s curse

Tytuł publikacji grupowej:

Ekonomia XXI Wieku = Economics of the 21st Century

Tytuł odmienny:

Economics of the 21st Century

Autor:

Palmowski, Zbigniew

Temat i słowa kluczowe:

Winner's curse ; value at risk ; order statistics ; ruina ; przekleństwo zwycięzcy ; licytacja ; estymator

Opis:

Ekonomia XXI Wieku = Economics of the 21st Century, 2017, Nr 3 (15), s. 124-134

Abstrakt:

This paper is an introduction to the concept and methodology of Value at Risk as a new tool for measuring exposure to the so-called winner’s curse risk. This expression was first used in the work of [Capen, Clapp, Campbell 1971] related to the oil companies, and it is usually introduced by the elementary example of the auctioning of a sealed jar with coins. The bidders cannot exactly know the value of the jar, they can just estimate it by looking at it from a distance. Usually the winner is the bidder who overestimates the value of jar the most, but actually he/she loses because of paying more than he/she receives in the jar. The same happens in insurance aggregators, but here the lowest price wins (we have then the so-called reversed auction). Traditionally, insurance companies have tried to offer insurance prices at the level of the expected value of the future costs (including all operational costs and expected profit) but now the winning company very likely is not getting enough premium to cover the assumed risk. In the case bankrupcy, this compnay will have to then face so-called winner’s curse. In this paper we analyse a few numerical examples

Wydawca:

Uniwersytet Ekonomiczny we Wrocławiu

Miejsce wydania:

Wrocław

Data wydania:

2017

Typ zasobu:

artykuł

Format:

application/pdf

Identyfikator zasobu:

doi:10.15611/e21.2017.3.08

Język:

eng

Powiązania:

Ekonomia XXI Wieku = Economics of the 21st Century, 2017, Nr 3 (15)

Prawa:

Pewne prawa zastrzeżone na rzecz Autorów i Wydawcy

Prawa dostępu:

Dla wszystkich zgodnie z licencją

Licencja:

CC BY-NC-ND 3.0 PL

Lokalizacja oryginału:

Uniwersytet Ekonomiczny we Wrocławiu