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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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7 relations
Coherent risk measureConcave functionDeviation risk measureExpected shortfall
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Papers overview

Semantic Scholar uses AI to extract papers important to this topic.
2016
2016
What attitudes to risk underlie distortion risk measure choices
Understanding the attitude to risk implicit within a risk measure sheds some light on the way in which decision makers perceive… Expand
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2015
2015
Optimal reinsurance under distortion risk measures and expected value premium principle for reinsurer
This paper discusses optimal reinsurance strategy by minimizing insurer’s risk under one general risk measure: Distortion risk… Expand
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2014
2014
Estimation of Distortion Risk Measures
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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2014
2014
On Optimal Reinsurance Policy with Distortion Risk Measures and Premiums
In this paper, we consider the problem of optimal reinsurance design, when the risk is measured by a distortion risk measure and… Expand
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2014
2014
Risk Redistribution with Distortion Risk Measures
This paper studies optimal risk redistribution between firms, such as banks or insurance companies. The introduction of the Basel… Expand
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2013
2013
Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
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
Bias correction for estimated distortion risk measure using the bootstrap
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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2008
2008
Properties of Distortion Risk Measures
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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2007
2007
Coherence of Distortion Risk Measure
This paper introduces a new method about risk measure: distortion risk measure,and proved that a concave distortion function is a… Expand
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2002
2002
Distortion Risk Measures : Coherence and Stochastic Dominance
In this paper it is proved that a concave distortion function is a necessary and sufficient condition for coherence, and a… Expand
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