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Distortion risk measures for nonnegative multivariate risks
Guillén, Montserrat; Sarabia Alzaga, José Maria; … - In: The journal of operational risk 13 (2018) 2, pp. 35-57
Persistent link: https://www.econbiz.de/10011895037
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An examination of the tail contribution to distortion risk measures
Santolino, Miguel; Belles-Sampera, James; Sarabia … - In: Journal of risk 23 (2021) 6, pp. 95-119
Persistent link: https://www.econbiz.de/10013473149
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Modelling losses and locating the tail with the Pareto positive stable distribution
Guillén, Montserrat; Prieto, Faustino; Sarabia Alzaga, … - In: Insurance / Mathematics & economics 49 (2011) 3, pp. 454-461
Persistent link: https://www.econbiz.de/10009404684
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Simple risk measure calculations for sums of positive random variables
Guillén, Montserrat; Sarabia Alzaga, José Maria; … - In: Insurance / Mathematics & economics 53 (2013) 1, pp. 273-280
Persistent link: https://www.econbiz.de/10009785394