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Distortion Risk Measures and Discrete Risks

  • Antonella Campana

    (Department SEGeS - University of Molise)

  • Paola Ferretti

    (Department of Applied Mathematics - University Ca' Foscari)

In this paper we consider the problem of determining approximations for distortion risk measures of sums of non-independent random variables. First, we give an overview of the recent actuarial literature on distortion risk measures and convex bounds for sums of random variables. Then, we examine the case of discrete risks with identical distribution. Upper and lower bounds for risk measures of sums of risks are presented in the case of concave distortion functions. The result is then extended to cover the case of non necessarily discrete risks.

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File URL: http://econwpa.repec.org/eps/game/papers/0510/0510013.pdf
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Paper provided by EconWPA in its series Game Theory and Information with number 0510013.

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Length: 13 pages
Date of creation: 31 Oct 2005
Date of revision:
Handle: RePEc:wpa:wuwpga:0510013
Note: Type of Document - pdf; pages: 13
Contact details of provider: Web page: http://econwpa.repec.org

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  1. Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: theory," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 3-33, August.
  2. Dhaene, Jan & Denuit, Michel, 1999. "The safest dependence structure among risks," Insurance: Mathematics and Economics, Elsevier, vol. 25(1), pages 11-21, September.
  3. Kaas, Rob & Dhaene, Jan & Goovaerts, Marc J., 2000. "Upper and lower bounds for sums of random variables," Insurance: Mathematics and Economics, Elsevier, vol. 27(2), pages 151-168, October.
  4. Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: applications," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 133-161, October.
  5. Shaun, Wang, 1995. "Insurance pricing and increased limits ratemaking by proportional hazards transforms," Insurance: Mathematics and Economics, Elsevier, vol. 17(1), pages 43-54, August.
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