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Distortion risk measure

In financial mathematics, a distortion risk measure is a type of risk measure which is related to the cumulative distribution function of the return… Expand
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Papers overview

Semantic Scholar uses AI to extract papers important to this topic.
2017
2017
  • A. Lo
  • 2017
  • Corpus ID: 7111641
The design of optimal reinsurance treaties in the presence of multifarious practical constraints is a substantive but… Expand
2015
2015
This paper studies optimal risk redistribution between firms, such as banks or insurance companies. The introduction of the Basel… Expand
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Highly Cited
2014
Highly Cited
2014
In this paper, we consider the problem of optimal reinsurance design, when the risk is measured by a distortion risk measure and… Expand
2014
2014
This paper studies optimal risk redistribution between firms, such as banks or insurance companies. The introduction of the Basel… Expand
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2014
2014
For the class of distortion risk measures, a natural estimator has the form of L-statistics. In this article, we investigate the… Expand
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Highly Cited
2013
Highly Cited
2013
Recently the optimal reinsurance strategy concerning the insurer’s risk attitude and the reinsurance premium principle has been… Expand
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2010
2010
  • J. Kim
  • 2010
  • Corpus ID: 121923054
The bias of the empirical estimate of a given risk measure has recently been of interest in the risk management literature. In… Expand
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2009
2009
In this paper we analyze and evaluate a standard approach financial institutions use to calculate their so-called total economic… Expand
Highly Cited
2008
Highly Cited
2008
The current literature does not reach a consensus on which risk measures should be used in practice. Our objective is to give at… Expand
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Highly Cited
2002
Highly Cited
2002
In this paper it is proved that a concave distortion function is a necessary and sufficient condition for coherence, and a… Expand