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Search: subject:"distortion functions"
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Measurement
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distortion functions
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Mean residual life function
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Junike, Gero
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Gómez-Déniz, E.
1
Hamada, Mahmoud
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Leoni, Peter
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Sarabia, José María
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Schoutens, Wim
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Sherris, Michael
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Sordo, M. A.
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Annals of finance
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Astin bulletin : the journal of the International Actuarial Association
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Insurance : mathematics and economics
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The journal of operational risk
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ECONIS (ZBW)
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1
A family of variability measures based on the cumulative residual entropy and
distortion
functions
Psarrakos, Georgios
;
Toomaj, Abdolsaeed
;
Vliora, Polyxeni
- In:
Insurance : mathematics and economics
114
(
2024
),
pp. 212-222
Persistent link: https://www.econbiz.de/10015049393
Saved in:
2
Representation of concave distortions and applications
Junike, Gero
- In:
Scandinavian actuarial journal
2019
(
2019
)
9
,
pp. 768-783
Persistent link: https://www.econbiz.de/10012194997
Saved in:
3
Deriving robust bayesian premiums under bands of prior distributions with applications
Sánchez-Sánchez, M.
;
Sordo, M. A.
;
Suárez-Llorens, A.
; …
- In:
Astin bulletin : the journal of the International …
49
(
2019
)
1
,
pp. 147-168
Persistent link: https://www.econbiz.de/10012105432
Saved in:
4
Implied liquidity risk premia in option markets
Guillaume, Florence
;
Junike, Gero
;
Leoni, Peter
; …
- In:
Annals of finance
15
(
2019
)
2
,
pp. 233-246
Persistent link: https://www.econbiz.de/10012058223
Saved in:
5
Distortion risk measures for nonnegative multivariate risks
Guillén, Montserrat
;
Sarabia, José María
; …
- In:
The journal of operational risk
13
(
2018
)
2
,
pp. 35-57
Persistent link: https://www.econbiz.de/10011895037
Saved in:
6
Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory
Hamada, Mahmoud
;
Sherris, Michael
- In:
Applied Mathematical Finance
10
(
2003
)
1
,
pp. 19-47
exchanges. This approach uses probability
distortion
functions
as the dual of the utility functions used in financial theory …
Persistent link: https://www.econbiz.de/10005495386
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