Bounds for distorted risk measures

DOI10.1515/EQC.2008.243MaRDI QIDQ2915315zbMATH OpenFDO

Authors Marcelo Goncalves, Nikolai Kolev, Antonio Fabris

Publication date 16 September 2012

Published in Economic Quality Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/EQC.2008.243

zbMATH Keywords

algorithmcopulas

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• Probabilistic arithmetic. I: Numerical methods for calculating convolutions and dependency bounds
• Risk Measures and Comonotonicity: A Review
• The Dual Theory of Choice under Risk
• The wizards of Wall Street: did mathematics change finance?

Cited in

(12)

• Computation of distorted probabilities for diffusion processes via stochastic control methods.
• Equivalent distortion risk measures on moment spaces
• Distortion measures and homogeneous financial derivatives
• Upper bounds for strictly concave distortion risk measures on moment spaces
• Tight bounds for a class of data-driven distributionally robust risk measures
• The key role of convexity in some copula constructions
• Elicitable distortion risk measures: a concise proof
• Risk bounds for factor models
• Risk measures, distortion parameters, and their empirical estimation
• Distortion Risk Measures Under Skew Normal Settings
• scientific article; zbMATH DE number 5252481 (Why is no real title available?)
• Computing and Estimating Distortion Risk Measures: How to Handle Analytically Intractable Cases?

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