Add to ORKGIn this paper we consider the problem of determining approximations for distortion risk measures of sums of non-independent random variables. First, we give an overview of the recent actuarial literature on distortion risk measures and convex bounds for sums of random variables. Then, we examine the case of discrete risks with identical distribution. Upper and lower bounds for risk measures of sums of risks are presented in the case of concave distortion functions. The result is then extended to cover the case of non necessarily discrete risks
The current literature does not reach a consensus on which risk measures should be used in practice....
In this paper we examine and summarize properties of several well-known risk measures, with special...
In this thesis, we try to provide a broad econometric analysis of a class of risk measures, distort...
In this paper we consider the problem of determining approximations for distortion risk measures of ...
In this paper we consider the problem of determining approximations for distortion risk measures of ...
In this paper we consider the problem of studying the gap between bounds of risk measures of sums of...
In this paper we consider the problem of studying the gap between bounds of risk measures for sums o...
In the last few years the properties of risk measures that can be considered as suiting 'best practi...
In this paper we examine and summarize properties of several well-known risk mea-sures that can be u...
In this paper, we present a new method to construct new classes of distortion functions. A distortio...
In this paper we examine and summarize properties of several well-known risk measures that can be us...
Abstract: This paper introduces two techniques for computing bounds for several quantile-based risk ...
In this paper we examine and summarize properties of several well-known risk measures that can be us...
This paper considers different approximations for computing either the distribution function or vari...
We consider the computation of quantiles and spectral risk measures for discrete distributions. This...
The current literature does not reach a consensus on which risk measures should be used in practice....
In this paper we examine and summarize properties of several well-known risk measures, with special...
In this thesis, we try to provide a broad econometric analysis of a class of risk measures, distort...
In this paper we consider the problem of determining approximations for distortion risk measures of ...
In this paper we consider the problem of determining approximations for distortion risk measures of ...
In this paper we consider the problem of studying the gap between bounds of risk measures of sums of...
In this paper we consider the problem of studying the gap between bounds of risk measures for sums o...
In the last few years the properties of risk measures that can be considered as suiting 'best practi...
In this paper we examine and summarize properties of several well-known risk mea-sures that can be u...
In this paper, we present a new method to construct new classes of distortion functions. A distortio...
In this paper we examine and summarize properties of several well-known risk measures that can be us...
Abstract: This paper introduces two techniques for computing bounds for several quantile-based risk ...
In this paper we examine and summarize properties of several well-known risk measures that can be us...
This paper considers different approximations for computing either the distribution function or vari...
We consider the computation of quantiles and spectral risk measures for discrete distributions. This...
The current literature does not reach a consensus on which risk measures should be used in practice....
In this paper we examine and summarize properties of several well-known risk measures, with special...
In this thesis, we try to provide a broad econometric analysis of a class of risk measures, distort...