The use of flexible quantile-based measures in risk assessment

DOI10.1080/03610926.2014.938829MaRDI QIDQ2807796zbMATHOpenAlexFDO

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

zbMATH Keywords

quantilesrisk assessmentrisk managementvalue-at-risksubadditivitytailsCornish-Fisher expansionGlueVaR measures

Mathematics Subject Classification ID

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

Recommendations

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Cites work

• scientific article; zbMATH DE number 3338262 (Why is no real title available?)
• Coherent measures of risk
• Comonotonicity, correlation order and premium principles
• Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures
• Handbook of solvency for actuaries and risk managers. Theory and practice.
• Insurance pricing and increased limits ratemaking by proportional hazards transforms
• Properties of distortion risk measures
• Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders
• Skewed bivariate models and nonparametric estimation for the CTE risk measure
• Tail comonotonicity: properties, constructions, and asymptotic additivity of risk measures
• The Dual Theory of Choice under Risk
• Theory of capacities
• Upper comonotonicity

Cited in

(10)

• Optimal reinsurance policy under a new distortion risk measure
• scientific article; zbMATH DE number 6039570 (Why is no real title available?)
• Measurement of bivariate risks by the north-south quantile points approach
• Combination of Qualitative and Quantitative Sources of Knowledge for Risk Assessment in the Framework of Possibility Theory^*
• Fundamentals of risk measurement and aggregation for insurance applications
• Tolerance intervals for quantiles of bivariate risks and risk measurement
• After VAR: the theory, estimation, and insurance applications of quantile-based risk measures
• Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures
• Behavioral premium principles
• Computing and Estimating Distortion Risk Measures: How to Handle Analytically Intractable Cases?

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