Representation of concave distortions and applications

DOI10.1080/03461238.2019.1615543zbMath1426.91226OpenAlexW2944049410MaRDI QIDQ5242229

Gero Junike

Publication date: 6 November 2019

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2019.1615543

zbMATH Keywords

log-concavitycoherent risk measurepremium principlerepresentation of distortion functionsWang-transform

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites Work

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• Dynamic capital allocation with distortion risk measures
• Insurance pricing and increased limits ratemaking by proportional hazards transforms
• Log-concave probability and its applications
• The natural Banach space for version independent risk measures
• Coherent Measures of Risk
• Stochastic Finance
• ONE‐PARAMETER FAMILIES OF DISTORTION RISK MEASURES
• On the calibration of distortion risk measures to bid-ask prices

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