Add to ORKGIn this paper we examine and summarize properties of several well-known risk measures, with special attention given to the class of distortion risk measures. We investigate the relationship between these risk measures and theories of choice under risk. We also consider the problem of evaluating risk measures for sums of nonindependent random variables and propose approximations based on the concept of comonotonicity
This paper examines why a financial entity’s solvency capital estimation might be underestimated if...
In this paper we propose a generalization of the concepts of convex and coherent risk measures to a ...
Risk measures have been studied for several decades in the actuarial literature, where they appeared...
In this paper we examine and summarize properties of several well-known risk measures that can be us...
In this paper we examine and summarize properties of several well-known risk measures that can be us...
In this paper we examine and summarize properties of several well-known risk mea-sures that can be u...
In this paper we examine and summarize properties of several well-known risk mea-sures that can be u...
Within the context of capital adequacy, we study comonotonicity of risk measures in terms of the pri...
Within the context of capital adequacy, we study comonotonicity of risk measures in terms of the pri...
In the last few years the properties of risk measures that can be considered as suiting 'best practi...
In the present paper we consider several measures for the risk that is present in an insurance envir...
We examine properties of risk measures that can be considered to be in line with some “best practice...
We examine properties of risk measures that can be considered to be in line with some 'best practice...
We examine properties of risk measures that can be considered to be in line with some ‘best practice...
We examine properties of risk measures that can be considered to be in line with some ‘best practice...
This paper examines why a financial entity’s solvency capital estimation might be underestimated if...
In this paper we propose a generalization of the concepts of convex and coherent risk measures to a ...
Risk measures have been studied for several decades in the actuarial literature, where they appeared...
In this paper we examine and summarize properties of several well-known risk measures that can be us...
In this paper we examine and summarize properties of several well-known risk measures that can be us...
In this paper we examine and summarize properties of several well-known risk mea-sures that can be u...
In this paper we examine and summarize properties of several well-known risk mea-sures that can be u...
Within the context of capital adequacy, we study comonotonicity of risk measures in terms of the pri...
Within the context of capital adequacy, we study comonotonicity of risk measures in terms of the pri...
In the last few years the properties of risk measures that can be considered as suiting 'best practi...
In the present paper we consider several measures for the risk that is present in an insurance envir...
We examine properties of risk measures that can be considered to be in line with some “best practice...
We examine properties of risk measures that can be considered to be in line with some 'best practice...
We examine properties of risk measures that can be considered to be in line with some ‘best practice...
We examine properties of risk measures that can be considered to be in line with some ‘best practice...
This paper examines why a financial entity’s solvency capital estimation might be underestimated if...
In this paper we propose a generalization of the concepts of convex and coherent risk measures to a ...
Risk measures have been studied for several decades in the actuarial literature, where they appeared...