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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…
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Related topics
Related topics
7 relations
Coherent risk measure
Concave function
Deviation risk measure
Expected shortfall
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Papers overview
Semantic Scholar uses AI to extract papers important to this topic.
2016
2016
Risk Concentration Based on the Tail Distortion Risk Measure under Generalized FGM Copula
Wenhua Lv
,
Liheng Sang
,
Guangjun Shen
International Conference on Identification…
2016
Corpus ID: 46807180
Risk concentration is used as a measurement of diversification benefits in the context of risk concentration. The tail distortion…
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2016
2016
Risk Measures and Capital Allocation Principles for Risk Management
W. Ying
2016
Corpus ID: 168276075
Risk measures (or premium principles) and capital allocation principles play a significant role in risk management. Regulators…
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2015
2015
Quantitative risk assessment, aggregation functions and capital allocation problems
Jaume Belles Sampera
2015
Corpus ID: 123886441
This work is focused on the study of risk measures and solutions to capital allocation problems, their suitability to answer…
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2014
2014
Risk Redistribution with Distortion Risk Measures
Tim J. Boonen
2014
Corpus ID: 2453657
This paper studies optimal risk redistribution between firms, such as banks or insurance companies. The introduction of the Basel…
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2014
2014
An improved estimator of the distortion risk measure for heavy-tailed claims
A. Rassoul
2014
Corpus ID: 28604228
The main aim of this paper is to propose an alternative estimate of the distortion risk measure for heavy-tailed claims. Our…
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2011
2011
Construction of uncertainty sets for portfolio selection problems
Christof Wiechers
2011
Corpus ID: 154241444
While modern portfolio theory grounds on the trade-off between portfolio return and portfolio variance to determine the optimal…
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2008
2008
Some proposals about multivariate risk measurement
M. Cardin
,
E. Pagani
2008
Corpus ID: 117054356
In actuarial literature the properties of risk measures or insurance premium principles have been extensively studied. In our…
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