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Distortion risk measure
Papers overview
Semantic Scholar uses AI to extract papers important to this topic.
2017
2017
The design of optimal reinsurance treaties in the presence of multifarious practical constraints is a substantive but…
2016
2016
Understanding the attitude to risk implicit within a risk measure sheds some light on the way in which decision makers perceive…
2015
2015
This paper discusses optimal reinsurance strategy by minimizing insurer’s risk under one general risk measure: Distortion risk…
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…
2014
2014
This paper studies optimal risk redistribution between firms, such as banks or insurance companies. The introduction of the Basel…
2014
2014
For the class of distortion risk measures, a natural estimator has the form of L-statistics. In this article, we investigate the…
Highly Cited
2013
Highly Cited
2013
Recently the optimal reinsurance strategy concerning the insurer’s risk attitude and the reinsurance premium principle has been…
2010
2010
The bias of the empirical estimate of a given risk measure has recently been of interest in the risk management literature. In…
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…
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…