Generalized PELVE and applications to risk measures (Q6173891): Difference between revisions

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+Coherent measures of risk in everyday market practice†
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+Coherent Measures of Risk
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+Probability equivalent level of value at risk and higher-order expected shortfalls
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+Parametric measures of variability induced by risk measures
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+On the Sums of Independently Distributed Pareto Variates
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+Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses
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+Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime
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+Robustness and sensitivity analysis of risk measurement procedures
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+Coherent risk measures
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+Q4550909
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+Q2888098
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+Stochastic finance. An introduction in discrete time.
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+The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
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+A discussion on mean excess plots
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+Risk measures, distortion parameters, and their empirical estimation
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+Q4552656
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+PELVE: probability equivalent level of VaR and ES
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+Q5253267
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+On distortion functionals
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+The Distribution of Sums of Certain I.I.D. Pareto Variates
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+Multivariate peaks over thresholds models
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+Comonotonicity, correlation order and premium principles
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+Axiomatic characterization of insurance prices
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+DISTORTION RISKMETRICS ON GENERAL SPACES
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+Optimal insurance under Wang's premium principle.
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+Dependence structure of risk factors and diversification effects
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