Search Results - subject:"Distortion risk measures"

Multinomial backtesting of distortion risk measures

Bettels, Sören; Kim, Sojung; Weber, Stefan - In: Insurance : mathematics and economics 119 (2024), pp. 130-145

Persistent link: https://www.econbiz.de/10015067217

Reverse sensitivity analysis for risk modelling

Pesenti, Silvana M. - In: Risks : open access journal 10 (2022) 7, pp. 1-23

We consider the problem where a modeller conducts sensitivity analysis of a model consisting of random input factors, a corresponding random output of interest, and a baseline probability measure. The modeller seeks to understand how the model (the distribution of the input factors as well as...

Persistent link: https://www.econbiz.de/10013364877

Robust distortion risk measures

Bernard, Carole; Pesenti, Silvana M.; Vanduffel, Steven - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 774-818

Persistent link: https://www.econbiz.de/10014565274

Portfolio risk analysis of excess of loss reinsurance

Tang, Qihe; Tong, Zhiwei; Xun, Li - In: Insurance / Mathematics & economics 102 (2022), pp. 91-110

Persistent link: https://www.econbiz.de/10013271962

Systemic risk : conditional distortion risk measures

Dhaene, Jan; Laeven, Roger J. A.; Zhang, Yiying - In: Insurance / Mathematics & economics 102 (2022), pp. 126-145

Persistent link: https://www.econbiz.de/10013271967

Limit theory for forecasts of extreme distortion risk measures and expectiles

Hoga, Yannick - In: Journal of financial econometrics 20 (2022) 1, pp. 18-44

Persistent link: https://www.econbiz.de/10012878185

Pareto-optimal reinsurance under individual risk constraints

Ghossoub, Mario; Jiang, Wenjun; Ren, Jiandong - In: Insurance / Mathematics & economics 107 (2022), pp. 307-325

Persistent link: https://www.econbiz.de/10013471249

Optimal reinsurance with multiple reinsurers : distortion risk measures, distortion premium principles, and heterogeneous beliefs

Boonen, Tim J.; Ghossoub, Mario - In: Insurance / Mathematics & economics 101 (2021) 1, pp. 23-37

Persistent link: https://www.econbiz.de/10012793907

Pareto-optimal reinsurance policies with maximal synergy

Jiang, Wenjun; Hong, Hanping; Ren, Jiandong - In: Insurance / Mathematics & economics 96 (2021), pp. 185-198

Persistent link: https://www.econbiz.de/10012482847

Set-valued law invariant coherent and convex risk measures

Chen, Yanhong; Hu, Yijun - In: International journal of theoretical and applied finance 22 (2019) 3, pp. 1-18

Persistent link: https://www.econbiz.de/10012019780

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