ONE‐PARAMETER FAMILIES OF DISTORTION RISK MEASURES

DOI10.1111/j.1467-9965.2009.00385.xzbMath1182.91097OpenAlexW1993142016MaRDI QIDQ3650928

Hideatsu Tsukahara

Publication date: 7 December 2009

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2009.00385.x

zbMATH Keywords

distortionparametric familyconvex risk measurecoherent risk measureinsurance premium principle

Mathematics Subject Classification ID

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

Related Items

On quantile based co-risk measures and their estimation, Measuring dependence in a set of asset returns, Distortion risk measures, ROC curves, and distortion divergence, Quantile portfolio optimization under risk measure constraints, Comparative and qualitative robustness for law-invariant risk measures, Implied liquidity risk premia in option markets, Some properties of distortion risk measures, Representation of concave distortions and applications, Contagion-based distortion risk measures

Uses Software

• QRM

Cites Work

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