Distortion risk measures for sums of dependent losses

zbMath1241.91061MaRDI QIDQ427961

Brahim Brahimi, Abdelhakim Necir, Djamel Meraghni

Publication date: 18 June 2012

Published in: Afrika Statistika (Search for Journal in Brave)

Full work available at URL: http://www.ajol.info/index.php/afst/article/view/71063

zbMATH Keywords

coherenceinsurancerisk measuredependence structuredistortion functionrisk theoryWang transform

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20)

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Copula conditional tail expectation for multivariate financial risks

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