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Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance
Cai, Jun; Liu, Fangda; Yin, Mingren - In: European journal of operational research : EJOR 318 (2024) 1, pp. 310-326
Persistent link: https://www.econbiz.de/10015047732
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Revisiting the optimal insurance design under adverse selection : distortion risk measures and tail-risk overestimation
Liang, Zhihang; Zou, Jushen; Jiang, Wenjun - In: Insurance / Mathematics & economics 104 (2022), pp. 200-221
Persistent link: https://www.econbiz.de/10013264949
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Range-dependent utility
Kontek, Krzysztof; Lewandowski, Michał - In: Management science : journal of the Institute for … 64 (2018) 6, pp. 2812-2832
Persistent link: https://www.econbiz.de/10011879030
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On some properties of two vector-valued VAR and CTE multivariate risk measures for Archimedean copulas
Hürlimann, Werner - In: Astin bulletin : the journal of the International … 44 (2014) 3, pp. 613-633
Persistent link: https://www.econbiz.de/10010407943
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Value at Risk
Katsuki, Yuta; Matsumoto, Koichi - In: Applied mathematical finance 21 (2014) 3/4, pp. 270-297
Persistent link: https://www.econbiz.de/10010499702
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Upper bounds for strictly concave distortion risk measures on moment spaces
Cornilly, D.; Rüschendorf, Ludger; Vanduffel, Steven - In: Insurance / Mathematics & economics 82 (2018), pp. 141-151
Persistent link: https://www.econbiz.de/10011929851
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Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures
Cai, Jun; Wang, Ying; Mao, Tiantian - In: Insurance / Mathematics & economics 75 (2017), pp. 105-116
Persistent link: https://www.econbiz.de/10011740761
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Natural risk measures
Assa, Hirbod - In: Mathematics and financial economics 10 (2016) 4, pp. 441-456
Persistent link: https://www.econbiz.de/10011555306
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Unusual estimates of probability weighting functions
Wilcox, Nathaniel T. - In: Models of risk preferences : descriptive and normative …, (pp. 69-106). 2023
Persistent link: https://www.econbiz.de/10014451677
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Discrete-time behavioral portfolio selection under cumulative prospect theory
Shi, Yun; Cui, Xiangyu; Li, Duan - In: Journal of economic dynamics & control 61 (2015), pp. 283-302
Persistent link: https://www.econbiz.de/10011589538