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

DOI10.1016/J.INSMATHECO.2017.05.004MaRDI QIDQ2364013zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

capital allocationChoquet integralcoherent risk measuregeneralized GlueVaRmultivariate tail risk measuresubadditivitytail distortion risk measuretail subadditivity

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(20)

• Upper bounds for strictly concave distortion risk measures on moment spaces
• Insurance premium-based shortfall risk measure induced by cumulative prospect theory
• Multivariate tail covariance risk measure for generalized skew-elliptical distributions
• Tail distortion risk measure for portfolio with multivariate regularly variation
• A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy
• The location of a minimum variance squared distance functional
• Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure
• Asymptotics of multivariate conditional risk measures for Gaussian risks
• Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses
• A multivariate CVaR risk measure from the perspective of portfolio risk management
• Fat tails, VaR and subadditivity
• The tail mean-variance optimal capital allocation under the extended skew-elliptical distribution
• Revisit optimal reinsurance under a new distortion risk measure
• A one-step approach for determining the optimal aggregate capital reserve and allocation
• Multivariate range Value-at-Risk and covariance risk measures for elliptical and log-elliptical distributions
• On a general class of functionals: statistical inference and application to risk measures
• On evaluation of joint risk for nonnegative multivariate risks under dependence uncertainty
• Range moment risk measures for elliptical distributions
• 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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