ONE‐PARAMETER FAMILIES OF DISTORTION RISK MEASURES

DOI10.1111/J.1467-9965.2009.00385.XzbMath1182.91097OpenAlexW1993142016MaRDI QIDQ3650928

Hideatsu Tsukahara

Publication date: 7 December 2009

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2009.00385.x

zbMATH Keywords

distortionparametric familyconvex risk measurecoherent risk measureinsurance premium principle

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (10)

On quantile based co-risk measures and their estimation ⋮ Measuring dependence in a set of asset returns ⋮ Distortion risk measures, ROC curves, and distortion divergence ⋮ Quantile portfolio optimization under risk measure constraints ⋮ Comparative and qualitative robustness for law-invariant risk measures ⋮ Implied liquidity risk premia in option markets ⋮ Estimation and backtesting of risk measures with emphasis on distortion risk measures ⋮ Some properties of distortion risk measures ⋮ Representation of concave distortions and applications ⋮ Contagion-based distortion risk measures

Uses Software

• QRM

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Rank estimates in a class of semiparametric two-sample models
• Weighted V\@R and its properties
• Axiomatic characterization of insurance prices
• The concept of comonotonicity in actuarial science and finance: theory.
• Insurance pricing and increased limits ratemaking by proportional hazards transforms
• Fuzzy measures and integrals. Theory and applications
• Theory of capacities
• The Dual Theory of Choice under Risk
• Application of Coherent Risk Measures to Capital Requirements in Insurance
• The Power of Rank Tests

This page was built for publication: ONE‐PARAMETER FAMILIES OF DISTORTION RISK MEASURES