What attitudes to risk underlie distortion risk measure choices?
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Publication:320275
DOI10.1016/j.insmatheco.2016.02.005zbMath1369.91076OpenAlexW2281825635MaRDI QIDQ320275
Montserrat Guillen, Miguel Santolino, Jaume Belles-Sampera
Publication date: 6 October 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2445/106659
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Related Items (7)
Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures ⋮ A NEYMAN-PEARSON PERSPECTIVE ON OPTIMAL REINSURANCE WITH CONSTRAINTS ⋮ Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making ⋮ Distortion risk measure under parametric ambiguity ⋮ Concave/convex weighting and utility functions for risk: a new light on classical theorems ⋮ Nonparametric inference for distortion risk measures on tail regions ⋮ Fundamentals of Risk Measurement and Aggregation for Insurance Applications
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