Dynamic capital allocation with distortion risk measures

DOI10.1016/j.insmatheco.2003.09.005zbMath1103.91316OpenAlexW3121218430MaRDI QIDQ704405

Andreas Tsanakas

Publication date: 13 January 2005

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

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/5978/1/Tsanakas2004.pdf

zbMATH Keywords

Risk managementCapital allocationCooperative gamesCorrelation orderDistorted probability

Mathematics Subject Classification ID

Related Items (32)

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Cites Work

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• Theory of capacities
• Coherent Measures of Risk
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• Subjective Probability and Expected Utility without Additivity
• Cooperative Fuzzy Games
• Values of Non-Atomic Games
• CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS
• Risk-adjusted credibility premiums using distorted probabilities
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