Risk measures based on behavioural economics theory

DOI10.1007/s00780-018-0358-6zbMath1397.91606OpenAlexW2792272759MaRDI QIDQ1709605

Jun Cai, Tiantian Mao

Publication date: 6 April 2018

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-018-0358-6

zbMATH Keywords

cumulative prospect theoryconvex risk measurecoherent risk measuredistortion risk measureexpectilemonetary risk measurerank-dependent expected utility theorystop-loss order preserving

Mathematics Subject Classification ID

Related Items (10)

Optimal reinsurance designs based on risk measures: a review ⋮ The average risk sharing problem under risk measure and expected utility theory ⋮ A multivariate CVaR risk measure from the perspective of portfolio risk management ⋮ Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks ⋮ Unnamed Item ⋮ Extreme-aggregation measures in the RDEU model ⋮ RISK MEASURES DERIVED FROM A REGULATOR’S PERSPECTIVE ON THE REGULATORY CAPITAL REQUIREMENTS FOR INSURERS ⋮ Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure ⋮ Reinsurance premium principles based on weighted loss functions ⋮ Insurance premium-based shortfall risk measure induced by cumulative prospect theory

Cites Work

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