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Properties of Distortion Risk Measures

Citations

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Cited by:

  1. Jaume Belles‐Sampera & Montserrat Guillén & Miguel Santolino, 2014. "Beyond Value‐at‐Risk: GlueVaR Distortion Risk Measures," Risk Analysis, John Wiley & Sons, vol. 34(1), pages 121-134, January.
  2. Dhaene, Jan & Laeven, Roger J.A. & Zhang, Yiying, 2022. "Systemic risk: Conditional distortion risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 102(C), pages 126-145.
  3. 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.
  4. Martina Nardon & Paolo Pianca, 2019. "Behavioral premium principles," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 229-257, June.
  5. Martina Nardon & Paolo Pianca, 2019. "Insurance premium calculation under continuous cumulative prospect theory," Working Papers 2019:03, Department of Economics, University of Venice "Ca' Foscari".
  6. Agata Boratyńska, 2021. "Robust Bayesian insurance premium in a collective risk model with distorted priors under the generalised Bregman loss," Statistics in Transition New Series, Polish Statistical Association, vol. 22(3), pages 123-140, September.
  7. 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.
  8. Boratyńska Agata, 2021. "Robust Bayesian insurance premium in a collective risk model with distorted priors under the generalised Bregman loss," Statistics in Transition New Series, Polish Statistical Association, vol. 22(3), pages 123-140, September.
  9. Hirbod Assa, 2014. "On Optimal Reinsurance Policy with Distortion Risk Measures and Premiums," Papers 1406.2950, arXiv.org.
  10. Jiang, Wenjun & Hong, Hanping & Ren, Jiandong, 2021. "Pareto-optimal reinsurance policies with maximal synergy," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 185-198.
  11. Florence Guillaume & Gero Junike & Peter Leoni & Wim Schoutens, 2019. "Implied liquidity risk premia in option markets," Annals of Finance, Springer, vol. 15(2), pages 233-246, June.
  12. Sordo, Miguel A. & Castaño-Martínez, Antonia & Pigueiras, Gema, 2016. "A family of premium principles based on mixtures of TVaRs," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 397-405.
  13. Wentao Hu, 2019. "SlideVaR: a risk measure with variable risk attitudes," Papers 1907.11855, arXiv.org.
  14. José Garrido & Ramin Okhrati, 2018. "Desirable Portfolios in Fixed Income Markets: Application to Credit Risk Premiums," Risks, MDPI, vol. 6(1), pages 1-21, March.
  15. Belles-Sampera, Jaume & Guillén, Montserrat & Santolino, Miguel, 2014. "GlueVaR risk measures in capital allocation applications," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 132-137.
  16. Soren Bettels & Sojung Kim & Stefan Weber, 2022. "Multinomial Backtesting of Distortion Risk Measures," Papers 2201.06319, arXiv.org, revised Jan 2024.
  17. Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2018. "Golden options in financial mathematics," INDEM - Working Paper Business Economic Series 27672, Instituto para el Desarrollo Empresarial (INDEM).
  18. 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.
  19. Mehri, Ali & Agahi, Hamzeh & Mehri-Dehnavi, Hossein, 2019. "A novel word ranking method based on distorted entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 484-492.
  20. Lv, Wenhua & Pan, Xiaoqing & Hu, Taizhong, 2013. "Asymptotics of the risk concentration based on the tail distortion risk measure," Statistics & Probability Letters, Elsevier, vol. 83(12), pages 2703-2710.
  21. Mario Brandtner, 2016. "Spektrale Risikomaße: Konzeption, betriebswirtschaftliche Anwendungen und Fallstricke," Management Review Quarterly, Springer, vol. 66(2), pages 75-115, April.
  22. Cheung, Ka Chun & Phillip Yam, Sheung Chi & Yuen, Fei Lung & Zhang, Yiying, 2020. "Concave distortion risk minimizing reinsurance design under adverse selection," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 155-165.
  23. Yiting Fan & Rui Fang, 2022. "Some Results on Measures of Interaction among Risks," Mathematics, MDPI, vol. 10(19), pages 1-19, October.
  24. Wentao Hu & Cuixia Chen & Yufeng Shi & Ze Chen, 2022. "A Tail Measure With Variable Risk Tolerance: Application in Dynamic Portfolio Insurance Strategy," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 831-874, June.
  25. Hirbod Assa, 2015. "Risk management under a prudential policy," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 38(2), pages 217-230, October.
  26. Jaume Belles-Sampera & Montserrat Guillén & Miguel Santolino, 2013. "“The use of flexible quantile-based measures in risk assessment”," IREA Working Papers 201323, University of Barcelona, Research Institute of Applied Economics, revised Dec 2013.
  27. Assa, Hirbod, 2015. "On optimal reinsurance policy with distortion risk measures and premiums," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 70-75.
  28. Cheung, Ka Chun & Yam, Sheung Chi Phillip & Zhang, Yiying, 2019. "Risk-adjusted Bowley reinsurance under distorted probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 64-72.
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