The connection between distortion risk measures and ordered weighted averaging operators

DOI10.1016/j.insmatheco.2013.02.008zbMath1284.91204OpenAlexW2145211353MaRDI QIDQ2442544

Jaume Belles-Sampera, Montserrat Guillen, Miguel Santolino, José M. Merigó

Publication date: 3 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2445/127264

zbMATH Keywords

fuzzy systemsdiscrete random variabledegree of ornessrisk quantification

Mathematics Subject Classification ID

Related Items (12)

Indicators for the characterization of discrete Choquet integrals ⋮ What attitudes to risk underlie distortion risk measure choices? ⋮ Subjective and objective information in linguistic multi-criteria group decision making ⋮ A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy ⋮ Covariances with OWA operators and Bonferroni means ⋮ Distortion risk measures, ROC curves, and distortion divergence ⋮ A premium principle based on the g-integral ⋮ Portfolio optimization with \(pw\)-robustness ⋮ ON THE AGGREGATION OF EXPERTS' INFORMATION IN BONUS–MALUS SYSTEMS ⋮ Reinsurer's optimal reinsurance strategy with upper and lower premium constraints under distortion risk measures ⋮ Behavioral premium principles ⋮ Fundamentals of Risk Measurement and Aggregation for Insurance Applications

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