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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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2016
2016
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
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
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
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
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
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
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
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
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
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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