Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures

DOI10.1016/J.INSMATHECO.2017.05.004zbMATH Open1394.91197OpenAlexW2620046803MaRDI QIDQ2364013FDOQ2364013

Authors: Jun Cai, Ying Wang, Tiantian Mao 

Publication date: 17 July 2017

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.05.004

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zbMATH Keywords

Choquet integralcapital allocationcoherent risk measuresubadditivitytail distortion risk measuregeneralized GlueVaRmultivariate tail risk measuretail subadditivity

Mathematics Subject Classification ID

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

Cites Work

• Tail Conditional Expectations for Elliptical Distributions
• Non-additive measure and integral
• Convex functions and their applications. A contemporary approach
• Asymptotics for risk capital allocations based on conditional tail expectation
• Some results on the CTE-based capital allocation rule
• Conditional tail expectations for multivariate phase-type distributions
• TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts
• Tail distortion risk and its asymptotic analysis
• GlueVaR risk measures in capital allocation applications
• What attitudes to risk underlie distortion risk measure choices?
• Families of update rules for non-additive measures: applications in pricing risks.
• Multivariate Pareto portfolios: TCE-based capital allocation and divided differences
• Tail Conditional Expectations for Exponential Dispersion Models
• Optimal capital allocation based on the tail mean-variance model
• Conditioning (updating) non-additive measures
• Multivariate tail conditional expectation for elliptical distributions

Cited In (15)

• Upper bounds for strictly concave distortion risk measures on moment spaces
• The tail mean-variance optimal capital allocation under the extended skew-elliptical distribution
• Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure
• Insurance premium-based shortfall risk measure induced by cumulative prospect theory
• A multivariate CVaR risk measure from the perspective of portfolio risk management
• Fat tails, VaR and subadditivity
• Revisit optimal reinsurance under a new distortion risk measure
• Multivariate tail covariance risk measure for generalized skew-elliptical distributions
• Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses
• Tail distortion risk measure for portfolio with multivariate regularly variation
• Asymptotics of multivariate conditional risk measures for Gaussian risks
• A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy
• The location of a minimum variance squared distance functional
• On multivariate extensions of conditional-tail-expectation
• Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models

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