Distortions of multivariate risk measures: a level-sets based approach
Download full text from publisher
References listed on IDEAS
- Alexis Bienvenüe & Didier Rullière, 2012.
"Iterative Adjustment of Survival Functions by Composed Probability Distortions,"
The Geneva Risk and Insurance Review,
Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 37(2), pages 156-179, September.
- Alexis Bienvenüe & Didier Rullière, 2012. "Iterative Adjustment of Survival Functions by Composed Probability Distortions," Post-Print hal-00665890, HAL.
- Biernacki, Christophe & Celeux, Gilles & Govaert, Gerard, 2003. "Choosing starting values for the EM algorithm for getting the highest likelihood in multivariate Gaussian mixture models," Computational Statistics & Data Analysis, Elsevier, vol. 41(3-4), pages 561-575, January.
- Embrechts, Paul & Puccetti, Giovanni, 2006. "Bounds for functions of multivariate risks," Journal of Multivariate Analysis, Elsevier, vol. 97(2), pages 526-547, February.
- Areski Cousin & Elena Di Bernadino, 2013. "On Multivariate Extensions of Value-at-Risk," Working Papers hal-00638382, HAL.
- Obereder, Andreas & Scherzer, Otmar & Kovac, Arne, 2007. "Bivariate density estimation using BV regularisation," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 5622-5634, August.
- Areski Cousin & Elena Di Bernadino, 2011. "On Multivariate Extensions of Value-at-Risk," Papers 1111.1349, arXiv.org, revised Apr 2013.
- Chacón, José E. & Rodríguez-Casal, Alberto, 2010. "A note on the universal consistency of the kernel distribution function estimator," Statistics & Probability Letters, Elsevier, vol. 80(17-18), pages 1414-1419, September.
- Dehaan, L. & Huang, X., 1995. "Large Quantile Estimation in a Multivariate Setting," Journal of Multivariate Analysis, Elsevier, vol. 53(2), pages 247-263, May.
- Valdez, Emiliano A., 2009. "On the Distortion of a Copula and its Margins," MPRA Paper 20524, University Library of Munich, Germany.
- Belzunce, F. & Castano, A. & Olvera-Cervantes, A. & Suarez-Llorens, A., 2007. "Quantile curves and dependence structure for bivariate distributions," Computational Statistics & Data Analysis, Elsevier, vol. 51(10), pages 5112-5129, June.
- Alexis Bienvenüe & Didier Rullière, 2011. "On hyperbolic iterated distortions for the adjustment of survival functions," Post-Print hal-00665349, HAL.
More about this item
KeywordsMultivariate risk measures; Multivariate probability distortions; Level sets estimation; Iterated compositions; Hyperbolic conversion functions; Multivariate risk measures.;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:wpaper:hal-00756387. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD). General contact details of provider: https://hal.archives-ouvertes.fr/ .