Distortion risk measures for sums of dependent losses
AbstractWe discuss two distinct approaches, for distorting risk measures of sums of dependent random variables, which preserve the property of coherence. The first, based on distorted expectations, operates on the survival function of the sum. The second, simultaneously applies the distortion on the survival function of the sum and the dependence structure of risks, represented by copulas. Our goal is to propose risk measures that take into account the fluctuations of losses and possible correlations between risk components.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1106.2791.
Date of creation: Jun 2011
Date of revision: Jun 2011
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-06-25 (All new papers)
- NEP-RMG-2011-06-25 (Risk Management)
- NEP-UPT-2011-06-25 (Utility Models & Prospect Theory)
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