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Risk measures, distortion parameters, and their empirical estimation · Study

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ArticleRisk measures, distortion parameters, and their empirical estimation

Bruce L. Jones2006

Article2006

Risk measures, distortion parameters, and their empirical estimation

Bruce L. Jones · Ričardas Zitikis

49 citations·0/0 files stored·Insurance Mathematics and Economics

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Probability and Risk Models Insurance and Financial Risk Management Risk and Portfolio Optimization

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References

1979An introduction to mathematical risk theory 2000A Class of Distortion Operators for Pricing Financial and Insurance Risks 1986Actuarial Mathematics.2006Encyclopedia of Actuarial Science 1999Application of Coherent Risk Measures to Capital Requirements in Insurance 2002Economic capital allocation derived from risk measures 1985On convex principles of premium calculation 1999A synthesis of risk measures for capital adequacy

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2011Stochastic comparisons of distorted variability measures

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Year2006

Typearticle

Published2006-12-19

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations49

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.insmatheco.2006.11.001

openalex_workW2001698685

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