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A synthesis of risk measures for capital adequacy

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Cited by:

  1. Chuancun Yin & Dan Zhu, 2015. "New class of distortion risk measures and their tail asymptotics with emphasis on VaR," Papers 1503.08586, arXiv.org, revised Mar 2016.
  2. Devolder, Pierre & Piscopo, Gabriella, 2012. "Solvency analysis of defined benefit pension schemes," LIDAM Discussion Papers ISBA 2012030, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  3. Eling, Martin & Gatzert, Nadine & Schmeiser, Hato, 2009. "Minimum standards for investment performance: A new perspective on non-life insurer solvency," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 113-122, August.
  4. Marta Cardin & Graziella Pacelli, 2008. "Characterization of Convex Premium Principles," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods in Insurance and Finance, pages 53-60, Springer.
  5. Dominique Guegan & Bertrand Hassani & Kehan Li, 2017. "An alternative class of distortion operators alternative tools to generate asymmetrical multimodal distributions," Documents de travail du Centre d'Economie de la Sorbonne 17030, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  6. Brahimi, Brahim & Abdelli, Jihane, 2016. "Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 135-143.
  7. Leitner, Johannes, 2005. "Dilatation monotonous Choquet integrals," Journal of Mathematical Economics, Elsevier, vol. 41(8), pages 994-1006, December.
  8. Albrecht, Peter, 2003. "Risk measures," Papers 03-01, Sonderforschungsbreich 504.
  9. Mohamed El Ghourabi & Christian Francq & Fedya Telmoudi, 2016. "Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(1), pages 46-76, January.
  10. Dominique Guegan & Bertrand Hassani & Kehan Li, 2017. "An alternative class of distortion operators," Post-Print halshs-01543251, HAL.
  11. Dominique Guegan & Bertrand Hassani & Kehan Li, 2017. "An alternative class of distortion operators," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01543251, HAL.
  12. Arthur Charpentier & Abder Oulidi, 2009. "Estimating allocations for Value-at-Risk portfolio optimization," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 395-410, July.
  13. Komelj, Janez & Perman, Mihael, 2010. "Joint characteristic functions construction via copulas," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 137-143, October.
  14. Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2018. "Tail expectile process and risk assessment," TSE Working Papers 18-944, Toulouse School of Economics (TSE).
  15. Schumacher Johannes M., 2018. "Distortion risk measures, ROC curves, and distortion divergence," Statistics & Risk Modeling, De Gruyter, vol. 35(1-2), pages 35-50, January.
  16. Gatzert, Nadine, 2008. "Asset management and surplus distribution strategies in life insurance: An examination with respect to risk pricing and risk measurement," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 839-849, April.
  17. Dan A. Iancu & Marek Petrik & Dharmashankar Subramanian, 2015. "Tight Approximations of Dynamic Risk Measures," Mathematics of Operations Research, INFORMS, vol. 40(3), pages 655-682, March.
  18. Christian Gourieroux & Wei Liu, 2006. "Efficient Portfolio Analysis Using Distortion Risk Measures," Working Papers 2006-17, Center for Research in Economics and Statistics.
  19. Gzyl, Henryk & Mayoral, Silvia, 2008. "Determination of risk pricing measures from market prices of risk," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 437-443, December.
  20. Mazzoleni, Piera, 2004. "Risk measures and return performance: A critical approach," European Journal of Operational Research, Elsevier, vol. 155(2), pages 268-275, June.
  21. Soren Bettels & Sojung Kim & Stefan Weber, 2022. "Multinomial Backtesting of Distortion Risk Measures," Papers 2201.06319, arXiv.org, revised Jan 2024.
  22. Peng, Liang & Qi, Yongcheng & Wang, Ruodu & Yang, Jingping, 2012. "Jackknife empirical likelihood method for some risk measures and related quantities," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 142-150.
  23. Christian Francq & Jean-Michel Zakoian, 2014. "Multi-level Conditional VaR Estimation in Dynamic Models," Working Papers 2014-01, Center for Research in Economics and Statistics.
  24. Gabriela Zeller & Matthias Scherer, 2023. "Risk mitigation services in cyber insurance: optimal contract design and price structure," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 48(2), pages 502-547, April.
  25. Marta Cardin & Graziella Pacelli, 2005. "On characterization of a class of convex operators for pricing insurance risks," Game Theory and Information 0511011, University Library of Munich, Germany.
  26. Gao, Huan & Mamon, Rogemar & Liu, Xiaoming, 2017. "Risk measurement of a guaranteed annuity option under a stochastic modelling framework," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 132(C), pages 100-119.
  27. Jungsywan H. Sepanski & Xiwen Wang, 2023. "New Classes of Distortion Risk Measures and Their Estimation," Risks, MDPI, vol. 11(11), pages 1-21, November.
  28. Mark Reesor & Don McLeish, 2002. "Risk, Entropy, and the Transformation of Distributions," Staff Working Papers 02-11, Bank of Canada.
  29. Cornilly, D. & Rüschendorf, L. & Vanduffel, S., 2018. "Upper bounds for strictly concave distortion risk measures on moment spaces," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 141-151.
  30. Griselda Deelstra & Michèle Vanmaele & David Vyncke, 2010. "Minimizing the Risk of a Financial Product Using a Put Option," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(4), pages 767-800, December.
  31. Choo, Weihao & de Jong, Piet, 2009. "Loss reserving using loss aversion functions," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 271-277, October.
  32. Brahimi, Brahim & Meraghni, Djamel & Necir, Abdelhakim & Zitikis, Ričardas, 2011. "Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 325-334.
  33. Monserrat Hernández-Solís & Cristina Lozano Colomer & José Luis Vilar Zanón., 2013. "El cálculo de la prima única de riesgo mediante la medida de riesgo transformada proporcional del tanto instantáneo," Economic Analysis Working Papers (2002-2010). Atlantic Review of Economics (2011-2016), Colexio de Economistas de A Coruña, Spain and Fundación Una Galicia Moderna, vol. 1, pages 1-1, June.
  34. Jones, Bruce L. & Zitikis, Ricardas, 2007. "Risk measures, distortion parameters, and their empirical estimation," Insurance: Mathematics and Economics, Elsevier, vol. 41(2), pages 279-297, September.
  35. Kaluszka, Marek, 2005. "Optimal reinsurance under convex principles of premium calculation," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 375-398, June.
  36. Windcliff, H. & Forsyth, P. A. & Vetzal, K. R., 2001. "Valuation of segregated funds: shout options with maturity extensions," Insurance: Mathematics and Economics, Elsevier, vol. 29(1), pages 1-21, August.
  37. Tan, Ken Seng & Weng, Chengguo & Zhang, Yi, 2011. "Optimality of general reinsurance contracts under CTE risk measure," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 175-187, September.
  38. Christian Gourieroux & Wei Liu, 2006. "Sensitivity Analysis of Distortion Risk Measures," Working Papers 2006-33, Center for Research in Economics and Statistics.
  39. Greselin, Francesca & Zitikis, Ricardas, 2015. "Measuring economic inequality and risk: a unifying approach based on personal gambles, societal preferences and references," MPRA Paper 65892, University Library of Munich, Germany.
  40. Dang, Ou & Feng, Mingbin & Hardy, Mary R., 2023. "Two-stage nested simulation of tail risk measurement: A likelihood ratio approach," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 1-24.
  41. Jones, Bruce L. & Puri, Madan L. & Zitikis, Ricardas, 2006. "Testing hypotheses about the equality of several risk measure values with applications in insurance," Insurance: Mathematics and Economics, Elsevier, vol. 38(2), pages 253-270, April.
  42. Eckhard Platen, 2009. "Real World Pricing of Long Term Contracts," Research Paper Series 262, Quantitative Finance Research Centre, University of Technology, Sydney.
  43. Francesca Greselin & Ričardas Zitikis, 2018. "From the Classical Gini Index of Income Inequality to a New Zenga-Type Relative Measure of Risk: A Modeller’s Perspective," Econometrics, MDPI, vol. 6(1), pages 1-20, January.
  44. Dilip mookerhjee, 2005. "New Directions in Development Economics: Theory or Empirics? - Is There Too Little Theory in Development Economics?," Boston University - Department of Economics - Working Papers Series WP2005-028, Boston University - Department of Economics.
  45. Hyunjoo Yoo & Bara Kim & Jeongsim Kim & Jiwook Jang, 2020. "Transform approach for discounted aggregate claims in a risk model with descendant claims," Annals of Operations Research, Springer, vol. 293(1), pages 175-192, October.
  46. 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.
  47. Zhu, Li & Li, Haijun, 2012. "Tail distortion risk and its asymptotic analysis," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 115-121.
  48. Frédéric Godin & Van Son Lai & Denis-Alexandre Trottier, 2019. "A General Class of Distortion Operators for Pricing Contingent Claims with Applications to CAT Bonds," Working Papers 2019-004, Department of Research, Ipag Business School.
  49. Albrecht, Peter & Maurer, Raimond & Ruckpaul, Ulla, 2001. "On the risks of stocks in the long run : a probabilistic approach based on measures of shortfall risk," Papers 01-12, Sonderforschungsbreich 504.
  50. Lee, Yung-Tsung, 2015. "A Framework to Charge for Unit-Linked Contracts When Considering Guaranteed Risk," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 5(3), pages 495-509, March.
  51. Jacques, Sébastien & Lai, Van Son & Soumaré, Issouf, 2011. "Synthetizing a debt guarantee: Super-replication versus utility approach," International Review of Financial Analysis, Elsevier, vol. 20(1), pages 27-40, January.
  52. Barbarin, Jerome & Devolder, Pierre, 2005. "Risk measure and fair valuation of an investment guarantee in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 297-323, October.
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