Distortion Risk Measures and Economic Capital
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Publication:5715954
DOI10.1080/10920277.2004.10596130zbMath1085.91526OpenAlexW2060203385MaRDI QIDQ5715954
Publication date: 6 January 2006
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2004.10596130
Related Items (22)
Preservation of stochastic orders under the formation of generalized distorted distributions. Applications to coherent systems ⋮ ON THE RESIDUAL AND PAST LIFETIMES OF COHERENT SYSTEMS UNDER RANDOM MONITORING ⋮ Prediction of record values by using quantile regression curves and distortion functions ⋮ Distortion Risk Measures Under Skew Normal Settings ⋮ Component level versus system level at active redundancies for coherent systems with dependent heterogeneous components ⋮ Systemic risk: conditional distortion risk measures ⋮ Risk-adjusted bowley reinsurance under distorted probabilities ⋮ Stochastic comparisons of distorted distributions, coherent systems and mixtures with ordered components ⋮ Risk Measures and Asset Pricing Models with New Versions of Wang Transform ⋮ Distortion risk measures, ROC curves, and distortion divergence ⋮ Bounds for the reliability functions of coherent systems with heterogeneous components ⋮ Comparisons in the mean residual life order of coherent systems with identically distributed components ⋮ STOCHASTIC COMPARISONS OF SYSTEMS BASED ON SEQUENTIAL ORDER STATISTICS VIA PROPERTIES OF DISTORTED DISTRIBUTIONS ⋮ Some new results on the LQE ordering ⋮ Stochastic distortion and its transformed copula ⋮ Stochastic comparisons of coherent systems under different random environments ⋮ On comparing coherent systems with heterogeneous components ⋮ ON SOME PROPERTIES OF TWO VECTOR-VALUED VAR AND CTE MULTIVARIATE RISK MEASURES FOR ARCHIMEDEAN COPULAS ⋮ Concave distortion risk minimizing reinsurance design under adverse selection ⋮ Risk Measures and Comonotonicity: A Review ⋮ Coherent Distortion Risk Measures and Higher-Order Stochastic Dominances ⋮ Estimation methods for expected shortfall
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