Risk measures and stochastic orders using integrals of distorted quantile functions

DOI10.1007/978-3-642-32419-2_26MaRDI QIDQ4644990zbMATH OpenOpenAlexFDO

Authors Ignacio Cascos, Miguel Ângelo de Sousa Mendes

Publication date 9 January 2019

Published in Recent Developments in Modeling and Applications in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-32419-2_26

zbMATH Keywords

quantile functionsrisk measuresstochastic orders

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

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Cites work

• Coherent measures of risk
• Fat tails, VaR and subadditivity
• scientific article; zbMATH DE number 765034 (Why is no real title available?)
• Stochastic finance. An introduction in discrete time
• Stochastic orders and risk measures: consistency and bounds

Cited in

(13)

• Distortion risk measures, ROC curves, and distortion divergence
• Remarks on quantiles and distortion risk measures
• The family of alpha,[a,b] stochastic orders: risk vs. expected value
• The connection between distortion risk measures and ordered weighted averaging operators
• Stochastic orders and risk measures: consistency and bounds
• On distortion functionals
• On some measures and distances for positive random variables
• Stochastic dominance with respect to a capacity and risk measures
• Some new stochastic orders based on quantile function
• Distortion riskmetrics on general spaces
• Smoothed Quantiles for Measuring Discrete Risks
• Random distortion risk measures
• Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders

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