The use of flexible quantile-based measures in risk assessment

DOI10.1080/03610926.2014.938829zbMath1365.62400OpenAlexW1509390574MaRDI QIDQ2807796

Montserrat Guillen, Jaume Belles-Sampera, Miguel Santolino

Publication date: 25 May 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2445/106489

zbMATH Keywords

quantilesvalue-at-risktailsCornish-Fisher expansionsubadditivityrisk managementrisk assessmentGlueVaR measures

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (4)

Optimal reinsurance policy under a new distortion risk measure ⋮ Computing and Estimating Distortion Risk Measures: How to Handle Analytically Intractable Cases? ⋮ Behavioral premium principles ⋮ Fundamentals of Risk Measurement and Aggregation for Insurance Applications

Cites Work

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• Tail comonotonicity: properties, constructions, and asymptotic additivity of risk measures
• Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures
• Skewed bivariate models and nonparametric estimation for the CTE risk measure
• Theory of capacities
• Coherent Measures of Risk
• The Dual Theory of Choice under Risk

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