Properties of distortion risk measures
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Publication:835686
DOI10.1007/s11009-008-9089-zzbMath1170.91368OpenAlexW2133626546WikidataQ55980468 ScholiaQ55980468MaRDI QIDQ835686
Publication date: 31 August 2009
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10016/14071
Related Items (29)
On Pareto-optimal reinsurance with constraints under distortion risk measures ⋮ Lorenz-generated bivariate Archimedean copulas ⋮ Robust optimization of mixed CVaR STARR ratio using copulas ⋮ Tail distortion risk measure for portfolio with multivariate regularly variation ⋮ A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy ⋮ Pareto-optimal reinsurance policies with maximal synergy ⋮ \( \tau \)-value for risk capital allocation problems ⋮ Systemic risk: conditional distortion risk measures ⋮ Risk-adjusted bowley reinsurance under distorted probabilities ⋮ Risk-Sensitive Reinforcement Learning via Policy Gradient Search ⋮ Risk management under a prudential policy ⋮ On a Risk Model With Dual Seasonalities ⋮ How distorting the trajectories of quantum particles shapes the statistical properties of their ensemble ⋮ Computing and Estimating Distortion Risk Measures: How to Handle Analytically Intractable Cases? ⋮ Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses ⋮ Asymptotics of the risk concentration based on the tail distortion risk measure ⋮ The connection between distortion risk measures and ordered weighted averaging operators ⋮ Second-order asymptotics of the risk concentration of a portfolio with deflated risks ⋮ Risk measurement of a guaranteed annuity option under a stochastic modelling framework ⋮ Implied liquidity risk premia in option markets ⋮ Nonparametric inference for distortion risk measures on tail regions ⋮ GlueVaR risk measures in capital allocation applications ⋮ Solvency II, regulatory capital, and optimal reinsurance: how good are conditional value-at-risk and spectral risk measures? ⋮ The use of flexible quantile-based measures in risk assessment ⋮ A family of premium principles based on mixtures of TVaRs ⋮ Concave distortion risk minimizing reinsurance design under adverse selection ⋮ Behavioral premium principles ⋮ On optimal reinsurance policy with distortion risk measures and premiums ⋮ Fundamentals of Risk Measurement and Aggregation for Insurance Applications
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