Bounds for Distorted Risk Measures

DOI10.1515/EQC.2008.243zbMath1247.62269MaRDI QIDQ2915315

Nikolai Kolev, Antonio Elias Fabris, Marcelo Goncalves

Publication date: 16 September 2012

Published in: Economic Quality Control (Search for Journal in Brave)

zbMATH Keywords

algorithmcopulas

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (1)

The key role of convexity in some copula constructions

Cites Work

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• Probabilistic arithmetic. I: Numerical methods for calculating convolutions and dependency bounds
• Insurance pricing and increased limits ratemaking by proportional hazards transforms
• Bounds for functions of multivariate risks
• Bounds for Quantile-Based Risk Measures of Functions of Dependent Random Variables
• Risk Measures and Comonotonicity: A Review
• The Dual Theory of Choice under Risk

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