The use of flexible quantile-based measures in risk assessment
DOI10.1080/03610926.2014.938829zbMATH Open1365.62400OpenAlexW1509390574MaRDI QIDQ2807796FDOQ2807796
Authors: Jaume Belles-Sampera, Montserrat Guillen, Miguel Santolino 
Publication date: 25 May 2016
Published in: Communications in Statistics. Theory and Methods (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2445/106489
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quantilesrisk assessmentrisk managementvalue-at-risksubadditivitytailsCornish-Fisher expansionGlueVaR measures
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Cites Work
- Coherent measures of risk
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- The Dual Theory of Choice under Risk
- Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures
- Insurance pricing and increased limits ratemaking by proportional hazards transforms
- Comonotonicity, correlation order and premium principles
- Theory of capacities
- Skewed bivariate models and nonparametric estimation for the CTE risk measure
- Handbook of solvency for actuaries and risk managers. Theory and practice.
- Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders
- Tail comonotonicity: properties, constructions, and asymptotic additivity of risk measures
- Upper comonotonicity
- Properties of distortion risk measures
Cited In (8)
- Measurement of bivariate risks by the north-south quantile points approach
- Behavioral premium principles
- Tolerance intervals for quantiles of bivariate risks and risk measurement
- Combination of Qualitative and Quantitative Sources of Knowledge for Risk Assessment in the Framework of Possibility Theory*
- Title not available (Why is that?)
- Computing and Estimating Distortion Risk Measures: How to Handle Analytically Intractable Cases?
- Fundamentals of Risk Measurement and Aggregation for Insurance Applications
- Optimal reinsurance policy under a new distortion risk measure
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