Distortion risk measures
Distortion Risk Measures and Discrete Risks
... a risk and then we remind some definitions and preliminary results in that ...discrete risk with finitely many mass points in such a way that it is possible to give an explicit formula for its ...
13
Distortion risk measures and allocation methodologies
... relevant risk measure belongs to the class of distortion risk measures, while Tsanakas (2008) extends these allocation principles to the more general class of convex risk ...
60
Dynamic capital allocation with distortion risk measures
... the risk measurement and capital allocation methodologies ...discussed. Distortion risk measures are updated using the general conditioning rule for non-additive set functions (Denneberg, ...
45
Distortion risk measures for nonnegative multivariate risks.
... apply distortion functions to bivariate survival functions for nonnegative random ...univariate distortion risk measures to the multivariate ...transform distortion and the dual power ...
24
Elicitable distortion risk measures: A concise proof
... coherent risk measures it is possible to show directly from the Kusuoka repre- sentation ( Kusuoka , 2001 ), that the only coherent risk measures with convex level sets are expectiles; see ...
10
On Bounds for Concave Distortion Risk Measures for Sums of Risks
... a risk and we remind some definitions and preliminary results in the field of distortion risk measures; then we propose the study of the case of a discrete risk with finitely many mass ...
11
Optimal Reciprocal Reinsurance under GlueVaR Distortion Risk Measures
... the risk is measured by a general risk measure, namely the GlueVaR distor- tion risk measures, which can be expressed as a linear combination of two tail value at risk (TVaR) and one ...
14
New Class of Distortion Risk Measures and Their Tail Asymptotics with Emphasis on VaR
... A risk measure ρ is a mapping from the set of random variables , standing for risky portfolios of assets and/or liabilities, to the real line R ...gains. Distortion risk measures are a ...
27
"The connection between distortion risk measures and ordered weighted averaging operators"
... for risk measures has extensively been developed since seminal papers on coherent risk measures and distortion risk ...for risk measures corresponds to a particular ...
31
The connection between distortion risk measures and ordered weighted averaging operators [WP]
... for risk measures has extensively been developed since seminal papers on coherent risk measures and distortion risk ...for risk measures corresponds to a particular ...
31
Improved estimators of extreme Wang distortion risk measures for very heavy tailed distributions
... Wang distortion risk measures. This class of risk measures encompasses several indicators such as the classical quantile/Value-at-Risk, the Tail-Value- at-Risk and ...
39
What do distortion risk measures tell us on excess of loss reinsurance with reinstatements ?
... The paper is organized as follows. In Section 2 we first review some basic settings for describing the excess of loss reinsurance model and we remind some definitions and preliminary results in the field of ...
11
Beyond Value-at-Risk : GlueVaR Distortion Risk Measures
... model risk when using VaR or, at least, to quantify the risk related to the modelling, as shown in Alexander and Sarabia (2) ...A risk measure is subadditive when the aggregated risk is less ...
39
Coherent Distortion Risk Measures in Portfolio Selection
... Note that in many cases it is assumed that X , i.e., the portfolio loss has a discrete uniform distribution. This is not a very limiting assumption if we restrict ourselves to discrete portfolio loss distributions, which ...
10
Distortion Risk Measures or the Transformation of Unimodal Distributions into Multimodal Functions
... that risk measures should satisfy including the coherency which is the main point for risk measure and show that the VaR is not a coherent risk measure failing to be not ...to risk ...
23
Initial premium, aggregate claims and distortion risk measures in XL reinsurance with reinstatements
... to risk adjusted premium principle, in this paper we study excess of loss reinsurance with reinstatements in the case in which the aggregate claims are generated by a discrete ...
11
Tail Distortion Risk and Its Asymptotic Analysis
... on distortion risk measures and their representation can be found in [12, 24] and the references ...of distortion risk to coherent risk was first established in [16, 17], and ...
18
Extremes for coherent risk measures
... a risk measure has been well-accepted by academics and practi- tioners for many decades, the mathematical formulation has become a major topic in mathematical finance literature for almost two ...coherent ...
22
Risk Measures At Risk- Are we missing the point? <br>Discussions around sub-additivity and distortion
... a risk measure does not take into account extreme ...the risk, but if the fitted distribution is inap- propriate the problem of capturing extreme events remains the ...
42
Characterisation of optimal dual measures via distortion
... We derive representations for optimal martingale measures in a two-factor Markovian model, by seeking ramifications of a distortion power solution Zariphopoulou 2001 of the primal utilit[r] ...
25