Stochastic orders and distortion risk contribution ratio measures

DOI10.1016/J.INSMATHECO.2024.06.007MaRDI QIDQ6607487zbMATH OpenFDO

Authors Yiying Zhang

Publication date 18 September 2024

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.INSMATHECO.2024.06.007

zbMATH Keywords

convex transform ordercopularatio measurerisk contributionstar ordersystemic risk

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Financial networks (including contagion, systemic risk, regulation) (91G45) Statistical methods; risk measures (91G70)

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Cites work

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Cited in

(3)

• On multivariate contribution measures of systemic risk with applications in cryptocurrency market
• Quantifying systemic risk: conditional interval risk measures and their applications
• Quantile-based risk contribution measures for risk portfolios with positive dependence

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