Choosing a random distribution with prescribed risks

DOI10.1016/J.INSMATHECO.2013.03.014MaRDI QIDQ2443239zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

simulationLorenz curverisk measurerandom probability distribution

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 49698 (Why is no real title available?)
• scientific article; zbMATH DE number 1795842 (Why is no real title available?)
• scientific article; zbMATH DE number 3320009 (Why is no real title available?)
• A class of distribution function processes which have derivatives
• Bounds for functions of dependent risks
• Coherent measures of risk
• Constructions of random distributions via sequential barycenters
• Decision principles derived from risk measures
• How to Construct a Random Probability Measure
• Multivariate dispersion, central regions and depth. The lift zonoid approach
• Prior distributions on spaces of probability measures
• Random homeomorphisms
• Random probability measures with given mean and variance
• Randomly generated distributions
• Stochastic finance. An introduction in discrete time
• Worst VaR scenarios
• Worst VaR scenarios with given marginals and measures of association
• Worst case risk measurement: back to the future?

Cited in

(1)

• Random distributions via sequential quantile array

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