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A note on generalized distortion risk measures

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  • Hurlimann, Werner

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  • Hurlimann, Werner, 2006. "A note on generalized distortion risk measures," Finance Research Letters, Elsevier, vol. 3(4), pages 267-272, December.
    • Handle: RePEc:eee:finlet:v:3:y:2006:i:4:p:267-272
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    References listed on IDEAS

    as
    1. Muller, Alfred, 1996. "Orderings of risks: A comparative study via stop-loss transforms," Insurance: Mathematics and Economics, Elsevier, vol. 17(3), pages 215-222, April.
    2. Christian S. Pedersen & Stephen E. Satchell, 1998. "An Extended Family of Financial-Risk Measures," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 23(2), pages 89-117, December.
    3. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    4. repec:cup:astinb:v:20:y:1990:i:02:p:181-190_00 is not listed on IDEAS
    5. repec:cup:astinb:v:26:y:1996:i:01:p:71-92_00 is not listed on IDEAS
    6. Wang, Shaun S. & Young, Virginia R. & Panjer, Harry H., 1997. "Axiomatic characterization of insurance prices," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 173-183, November.
    7. Stone, Bernell K, 1973. "A General Class of Three-Parameter Risk Measures," Journal of Finance, American Finance Association, vol. 28(3), pages 675-685, June.
    8. Hans Föllmer & Alexander Schied, 2002. "Convex measures of risk and trading constraints," Finance and Stochastics, Springer, vol. 6(4), pages 429-447.
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    Cited by:

    1. Belles-Sampera, Jaume & Merigó, José M. & Guillén, Montserrat & Santolino, Miguel, 2013. "The connection between distortion risk measures and ordered weighted averaging operators," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 411-420.

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