Skip to search formSkip to main content
You are currently offline. Some features of the site may not work correctly.

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
Wikipedia

Related topics

Related topics

7 relations
Coherent risk measureConcave functionDeviation risk measureExpected shortfall
Expand

Papers overview

Semantic Scholar uses AI to extract papers important to this topic.
2017
2017
A unifying approach to risk-measure-based optimal reinsurance problems with practical constraints
  • 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
Competitive equilibria with distortion risk measures
This paper studies optimal risk redistribution between firms, such as banks or insurance companies. The introduction of the Basel… Expand
  • figure 1
  • figure 2
Highly Cited
2014
Highly Cited
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
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
  • figure 1
  • figure 2
  • figure 3
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
  • table 1
Highly Cited
2013
Highly Cited
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
  • figure 2.1
  • table 3.1
  • table 3.2
2010
2010
Bias correction for estimated distortion risk measure using the bootstrap
  • 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
  • table 1
  • table 2
  • table 3
  • table 4
  • table 5
2009
2009
Aggregating Economic Capital
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
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
  • figure 1
  • table 1
  • table 3
  • figure 2
  • table 4
Highly Cited
2002
Highly Cited
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
By clicking accept or continuing to use the site, you agree to the terms outlined in our Privacy Policy, Terms of Service, and Dataset License
ACCEPT & CONTINUE