DISTORTION RISKMETRICS ON GENERAL SPACES

DOI10.1017/asb.2020.14zbMath1454.91208OpenAlexW3035455029MaRDI QIDQ5140082

Qiuqi Wang, Yunran Wei, Ruodu Wang

Publication date: 13 December 2020

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2020.14

zbMATH Keywords

continuityconvexitycomonotonicityconvex orderChoquet integrals

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Actuarial mathematics (91G05)

Related Items (12)

On quantile based co-risk measures and their estimation ⋮ Optimal insurance to maximize RDEU under a distortion-deviation premium principle ⋮ Parametric measures of variability induced by risk measures ⋮ Risk measures induced by efficient insurance contracts ⋮ Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making ⋮ Choquet Regularization for Continuous-Time Reinforcement Learning ⋮ Bowley reinsurance with asymmetric information: a first-best solution ⋮ Probability equivalent level of value at risk and higher-order expected shortfalls ⋮ Bounds for Gini's mean difference based on first four moments, with some applications ⋮ Assessing the difference between integrated quantiles and integrated cumulative distribution functions ⋮ Generalized PELVE and applications to risk measures ⋮ An optimal transport-based characterization of convex order

Uses Software

• QRM

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