Properties of distortion risk measures
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Publication:835686
DOI10.1007/S11009-008-9089-ZzbMATH Open1170.91368OpenAlexW2133626546WikidataQ55980468 ScholiaQ55980468MaRDI QIDQ835686FDOQ835686
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
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Cited In (40)
- GlueVaR risk measures in capital allocation applications
- \( \tau \)-value for risk capital allocation problems
- Lorenz-generated bivariate Archimedean copulas
- Robust insurance design with distortion risk measures
- Risk-Sensitive Reinforcement Learning via Policy Gradient Search
- Behavioral premium principles
- Risk-adjusted bowley reinsurance under distorted probabilities
- On Pareto-optimal reinsurance with constraints under distortion risk measures
- Robust optimization of mixed CVaR STARR ratio using copulas
- Coherence of distortion risk measure
- Nonparametric inference for distortion risk measures on tail regions
- The use of flexible quantile-based measures in risk assessment
- Implied liquidity risk premia in option markets
- Distortion measures and homogeneous financial derivatives
- Asymptotic behavior of tail distortion risk measure for aggregate weight-adjusted losses
- Pareto-optimal reinsurance policies with maximal synergy
- Stochastic orders and distortion risk contribution ratio measures
- Tail distortion risk measure for portfolio with multivariate regularly variation
- How distorting the trajectories of quantum particles shapes the statistical properties of their ensemble
- Risk measures, distortion parameters, and their empirical estimation
- Concave distortion risk minimizing reinsurance design under adverse selection
- Systemic risk: conditional distortion risk measures
- A family of premium principles based on mixtures of TVaRs
- A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy
- Computing and Estimating Distortion Risk Measures: How to Handle Analytically Intractable Cases?
- Risk management under a prudential policy
- Fundamentals of Risk Measurement and Aggregation for Insurance Applications
- On optimal reinsurance policy with distortion risk measures and premiums
- Risk measurement of a guaranteed annuity option under a stochastic modelling framework
- DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY
- Solvency II, regulatory capital, and optimal reinsurance: how good are conditional value-at-risk and spectral risk measures?
- Preference robust distortion risk measure and its application
- One-parameter families of distortion risk measures
- On a Risk Model With Dual Seasonalities
- Elicitable distortion risk measures: a concise proof
- Random distortion risk measures
- Asymptotics of the risk concentration based on the tail distortion risk measure
- Second-order asymptotics of the risk concentration of a portfolio with deflated risks
- Distortion Risk Measures Under Skew Normal Settings
- The connection between distortion risk measures and ordered weighted averaging operators
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