Contagion-based distortion risk measures
DOI10.1016/J.AML.2013.07.007zbMATH Open1311.91125OpenAlexW2027167065MaRDI QIDQ2345103FDOQ2345103
Authors: Umberto Cherubini, Sabrina Mulinacci 
Publication date: 19 May 2015
Published in: Applied Mathematics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.aml.2013.07.007
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Cites Work
- Coherent measures of risk
- An introduction to copulas.
- Title not available (Why is that?)
- Copulas Constructed from Horizontal Sections
- One-parameter families of distortion risk measures
- \textit{Within} and \textit{between} systemic country risk. Theory and evidence from the sovereign crisis in Europe
- Componentwise concave copulas and their asymmetry
Cited In (9)
- On quantile based co-risk measures and their estimation
- Distortion risk measures for sums of dependent losses
- Risk measures, distortion parameters, and their empirical estimation
- Risk measures and dependencies of risks
- Mitigating contagion risk by investing in the safety of rivals
- Marshall–Olkin Machinery and Power Mixing: The Mixed Generalized Marshall–Olkin Distribution
- Estimating redenomination risk under Gumbel-Hougaard survival copulas
- A Dynamic Contagion Risk Model with Recovery Features
- Extremes for a general contagion risk measure
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