Equivalent distortion risk measures on moment spaces

DOI10.1016/j.spl.2018.11.021zbMath1450.62131OpenAlexW2901761701MaRDI QIDQ1726870

Steven Vanduffel, Dries Cornilly

Publication date: 20 February 2019

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2018.11.021

zbMATH Keywords

model uncertaintyvalue-at-risk (VaR)distortion functioncoherent risk measureexpected shortfall (ES)

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20) Risk models (general) (91B05)

Cites Work

• Aggregation-robustness and model uncertainty of regulatory risk measures
• Worst VaR scenarios with given marginals and measures of association
• VaR bounds in models with partial dependence information on subgroups
• Upper bounds for strictly concave distortion risk measures on moment spaces
• Remarks on quantiles and distortion risk measures
• Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
• Risk bounds for factor models
• Coherent Measures of Risk
• How Superadditive Can a Risk Measure Be?
• Risk Measures and Comonotonicity: A Review
• Random variables with maximum sums
• Reduction of Value-at-Risk bounds via independence and variance information
• ASYMPTOTIC EQUIVALENCE OF RISK MEASURES UNDER DEPENDENCE UNCERTAINTY
• Worst-Case Range Value-at-Risk with Partial Information
• Unnamed Item

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