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GlueVaR measures in capital allocation applications
Belles-Sampera, Jaume; Guillén, Montserrat; Santolino, … - In: Insurance / Mathematics & economics 58 (2014), pp. 132-137
Persistent link: https://www.econbiz.de/10010437586
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“Beyond Value-at-Risk: GlueVaR Distortion Risk Measures”
Belles-Sampera, Jaume; Guillén, Montserrat; Santolino, … - Facultat d'Economia i Empresa, Universitat de Barcelona - 2013
. The relationship between Glue-VaR, Value-at-Risk (VaR) and Tail Value-at-Risk (TVaR) is explained. Tail-subadditivity is …
Persistent link: https://www.econbiz.de/10010610754
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“The use of flexible quantile-based measures in risk assessment”
Belles-Sampera, Jaume; Guillén, Montserrat; Santolino, … - Facultat d'Economia i Empresa, Universitat de Barcelona - 2013
the tail-subadditivity property. An example of risk measurement based on real insurance claim data is presented, where … implications of tail-subadditivity in the aggregation of risks are illustrated. …
Persistent link: https://www.econbiz.de/10010720430
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The use of flexible quantile-based measures in risk assessment
Belles-Sampera, Jaume; Guillén, Montserrat; Santolino, … - Institut de Recerca en Economia Aplicada (IREA), … - 2015
the tail-subadditivity property. An example of risk measurement based on real insurance claim data is presented, where … implications of tail-subadditivity in the aggregation of risks are illustrated. …
Persistent link: https://www.econbiz.de/10011205385
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The Solvency II Standard Formula, linear geometry, and diversification
Paulusch, Joachim - In: Journal of Risk and Financial Management 10 (2017) 2, pp. 1-12
function and hence a risk measure that preserves homogeneity, subadditivity and convexity. …
Persistent link: https://www.econbiz.de/10011843289
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The Solvency II Standard Formula, linear geometry, and diversification
Paulusch, Joachim - In: Journal of risk and financial management : JRFM 10 (2017) 2, pp. 1-12
function and hence a risk measure that preserves homogeneity, subadditivity and convexity. …
Persistent link: https://www.econbiz.de/10011669008
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Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures
Cai, Jun; Wang, Ying; Mao, Tiantian - In: Insurance / Mathematics & economics 75 (2017), pp. 105-116
Persistent link: https://www.econbiz.de/10011740761
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Distorted stochastic dominance : a generalized family of stochastic orders
Lando, Tommaso; Bertoli-Barsotti, Lucio - In: Journal of mathematical economics 90 (2020), pp. 132-139
Persistent link: https://www.econbiz.de/10012800803
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Optimal insurance contracts under distortion risk measures with ambiguity aversion
Jiang, Wenjun; Escobar, Marcos; Ren, Jiandong - In: ASTIN bulletin : the journal of the International … 50 (2020) 2, pp. 619-646
Persistent link: https://www.econbiz.de/10012243390
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Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime
Brahimi, Brahim; Abdelli, Jihane - In: Insurance / Mathematics & economics 70 (2016), pp. 135-143
Persistent link: https://www.econbiz.de/10011597203