Stochastic orders and distortion risk contribution ratio measures

DOI10.1016/J.INSMATHECO.2024.06.007MaRDI QIDQ6607487zbMATHFDO

Authors Yiying Zhang

Publication date 18 September 2024

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

zbMATH Keywords

copulasystemic riskstar orderconvex transform orderrisk contributionratio measure

Mathematics Subject Classification ID

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

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Cites work

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• scientific article; zbMATH DE number 3388383 (Why is no real title available?)
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• Stochastic orders and multivariate measures of risk contagion
• Systemic risk: conditional distortion risk measures
• The Dual Theory of Choice under Risk

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