Add to ORKGRisk measures are widely used in insurance pricing, portfolio selection, and in decision-making in general. Two prevalent classes of risk measures are expected utility (a dollar transform), and distorted probability (a probability transform). Both approaches exhibit properties which are not supported by empirical evidence on decision-making under risk. We propose a combined functional (dollar and prob-ability transform) which may combine advantages of both approaches. The present paper develops representation theorems and axiomatic descriptions, presents appli-cations to decision-making under risk, premium calculation, and portfolio selection; and includes numeric and graphical illustrations. Key words: risk measure, expected utility, disto...
The current literature does not reach a consensus on which risk measures should be used in practice....
Standard optimal portfolio choice models assume that investors maximize the expected utility of thei...
In this paper, we argue that a distinction exists between risk measures and decision principles. Tho...
Risk measures have been studied for several decades in the actuarial literature, where they appeared...
Risk measures have been studied for several decades in the actuarial literature, where they appeared...
In this paper, we argue that a distinction exists between risk measures and decision principles. Tho...
The application and estimation of expected utility based decision models would benefit from having a...
We define a premium principle under the continuous cumulative prospect theory which extends the equi...
We define a premium principle under the continuous cumulative prospect theory which extends the equi...
Risk measures have been studied for several decades in the actuarial literature, where they appeared...
At the beginning of this work we study basic properties of utility functions and connection between ...
In the actuarial research, distortion, mean value and Haezendonck–Goovaerts risk measures are concep...
This paper investigates how welfare losses for facing risks change as the risk environment of the de...
This thesis deals with risk measures based on utility functions and time consistency of dynamic risk...
Traditional decision theory describes human behavior and human preferences in terms of utility funct...
The current literature does not reach a consensus on which risk measures should be used in practice....
Standard optimal portfolio choice models assume that investors maximize the expected utility of thei...
In this paper, we argue that a distinction exists between risk measures and decision principles. Tho...
Risk measures have been studied for several decades in the actuarial literature, where they appeared...
Risk measures have been studied for several decades in the actuarial literature, where they appeared...
In this paper, we argue that a distinction exists between risk measures and decision principles. Tho...
The application and estimation of expected utility based decision models would benefit from having a...
We define a premium principle under the continuous cumulative prospect theory which extends the equi...
We define a premium principle under the continuous cumulative prospect theory which extends the equi...
Risk measures have been studied for several decades in the actuarial literature, where they appeared...
At the beginning of this work we study basic properties of utility functions and connection between ...
In the actuarial research, distortion, mean value and Haezendonck–Goovaerts risk measures are concep...
This paper investigates how welfare losses for facing risks change as the risk environment of the de...
This thesis deals with risk measures based on utility functions and time consistency of dynamic risk...
Traditional decision theory describes human behavior and human preferences in terms of utility funct...
The current literature does not reach a consensus on which risk measures should be used in practice....
Standard optimal portfolio choice models assume that investors maximize the expected utility of thei...
In this paper, we argue that a distinction exists between risk measures and decision principles. Tho...