Search Results - subject:"Distortion Function"

Transmuted distortion functions for measuring risks

Alkasasbeh, Muna; Lee, Carl; Famoye, Felix - In: Risks : open access journal 12 (2024) 10, pp. 1-17

This paper introduces a new family of distortion functions for measuring risks, developed using transmutation techniques. We identify the parameter spaces where the proposed distortions exhibit concavity. Considering that the choice of distortion parameters can be influenced by political factors...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015130324

New classes of distortion risk measures and their estimation

Sepanski, Jungsywan; Wang, Xiwen - In: Risks : open access journal 11 (2023) 11, pp. 1-21

In this paper, we present a new method to construct new classes of distortion functions. A distortion function maps the … parameter space on which the distortion function is concave. We studied cases when the generating distributions are …

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014436375

Preference robust distortion risk measure and its application

Wang, Wei; Xu, Huifu - In: Mathematical finance : an international journal of … 33 (2023) 2, pp. 389-434

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014278678

Robust Bayesian insurance premium in a collective risk model with distorted priors under the generalised Bregman loss

Boratyńska, Agata - In: Statistics in Transition New Series 22 (2021) 3, pp. 123-140

The article presents a collective risk model for the insurance claims. The objective is to estimate a premium, which is defined as a functional specified up to unknown parameters. For this purpose, the Bayesian methodology, which combines the prior knowledge about certain unknown parameters with...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013444099

Robust Bayesian insurance premium in a collective risk model with distorted priors under the generalised Bregman loss

Boratyńska, Agata - In: Statistics in transition : an international journal of … 22 (2021) 3, pp. 123-140

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012655807

Distortion risk measure under parametric ambiguity

Shao, Hui; Zhang, Zhe George - In: European journal of operational research : EJOR 311 (2023) 3, pp. 1159-1172

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014440209

Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves

Boratyńska, Agata; Zielińska-Kolasińska, Zofia - In: Insurance / Mathematics & economics 105 (2022), pp. 194-202

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013349008

Why was there more household stock market participation during the COVID-19 pandemic?

Zheng, Wenyuan; Li, Bingqing; Huang, Zhiyong; Chen, Lu - In: Finance research letters 46 (2022) 2, pp. 1-9

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013342693

Portfolio optimization in incomplete markets and price constraints determined by maximum entropy in the mean

Arratia, Argimiro; Gzyl, Henryk - In: Computational economics 56 (2020) 4, pp. 929-952

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012390498

Conic CVA and DVA for option portfolios

Bakel, Sjoerd van; Borovkova, Svetlana; Michielon, Matteo - In: International journal of theoretical and applied finance 23 (2020) 5, pp. 1-30

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012496518