Distortion Risk Measures Under Skew Normal Settings

DOI10.1007/978-3-319-13449-9_9MaRDI QIDQ4558829zbMATH OpenOpenAlexFDO

Authors Weizhong Tian, Tonghui Wang, Liangjian Hu, Hien Duy Tran

Publication date 30 November 2018

Published in Econometrics of Risk (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-13449-9_9

zbMATH Keywords

asset returnmultivariate normal distributionrisk measuresharpe ratiostock price

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Cites work

• A flexible skew-generalized normal distribution
• A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks
• A Skew Extension of the T-Distribution, with Applications
• A synthesis of risk measures for capital adequacy
• A Universal Framework for Pricing Financial and Insurance Risks
• An Intertemporal Capital Asset Pricing Model
• Coherent measures of risk
• Conditional value-at-risk bounds for compound Poisson risks and a normal approximation
• Distortion Risk Measures and Economic Capital
• Distribution of quadratic forms under skew normal settings
• Flexible Class of Skew-Symmetric Distributions
• scientific article; zbMATH DE number 3930122 (Why is no real title available?)
• On Bayesian Modeling of Fat Tails and Skewness
• On Stop-Loss Order and the Distortion Pricing Principle
• Risk Measures and Asset Pricing Models with New Versions of Wang Transform
• Some skew-symmetric models
• The Logarithmic Skew-Normal Distributions are Moment-Indeterminate

Cited in

(3)

• Risk measures, distortion parameters, and their empirical estimation
• Multivariate skew-normal distributions with applications in insurance
• Extremal properties and tail asymptotic of alpha-skew-normal distribution

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