Choosing a random distribution with prescribed risks

DOI10.1016/J.INSMATHECO.2013.03.014zbMATH Open1284.60098OpenAlexW2060065506MaRDI QIDQ2443239FDOQ2443239

Authors: Ignacio Cascos, Ilya S. Molchanov 

Publication date: 4 April 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.03.014

Recommendations

• Distribution-Invariant Risk Measures, Entropy, and Large Deviations
• Measuring distribution model risk
• Simulation of some multivariate distributions
• Random distributions via sequential quantile array
• scientific article; zbMATH DE number 2159346

zbMATH Keywords

simulationLorenz curverisk measurerandom probability distribution

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Random measures (60G57)

Cites Work

• Coherent measures of risk
• Prior distributions on spaces of probability measures
• Multivariate dispersion, central regions and depth. The lift zonoid approach
• Title not available (Why is that?)
• Stochastic finance. An introduction in discrete time
• Worst VaR scenarios with given marginals and measures of association
• Title not available (Why is that?)
• A class of distribution function processes which have derivatives
• Worst case risk measurement: back to the future?
• Decision principles derived from risk measures
• Bounds for functions of dependent risks
• Worst VaR scenarios
• How to Construct a Random Probability Measure
• Title not available (Why is that?)
• Random homeomorphisms
• Constructions of random distributions via sequential barycenters
• Random probability measures with given mean and variance
• Randomly generated distributions

Cited In (1)

• Random distributions via sequential quantile array

This page was built for publication: Choosing a random distribution with prescribed risks

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2443239)