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Insurance Mathematics and Economics, ISSN 0167-6687, 11/2016, Volume 71, pp. 332 - 341
Journal Article
Statistics and Probability Letters, ISSN 0167-7152, 03/2019, Volume 146, pp. 187 - 192
We show that maximizing distortion risk measures over the set of distributions with given mean is equivalent to maximizing their concave counterpart. In the... 
Value-at-Risk (VaR) | Coherent risk measure | Distortion function | Expected shortfall (ES) | Model uncertainty | BOUNDS | VALUE-AT-RISK | STATISTICS & PROBABILITY
Journal Article
Risk Analysis, ISSN 0272-4332, 01/2014, Volume 34, Issue 1, pp. 121 - 134
Journal Article
Insurance Mathematics and Economics, ISSN 0167-6687, 11/2019, Volume 89, pp. 92 - 110
Suppose is some interesting loss and is a benchmark variable. Given some extreme scenarios of , it is indispensable to measure the tail risk of by applying a... 
Nonparametric method | Distortion risk measure | Copula | Extreme Value Theory | Tail risk analysis
Journal Article
Journal of Banking and Finance, ISSN 0378-4266, 09/2008, Volume 32, Issue 9, pp. 1870 - 1882
This paper deals with risk measurement and portfolio optimization under risk constraints. Firstly we give an overview of risk assessment from the viewpoint of... 
Spectral risk measures | Portfolio selection | Distortion risk measures | Expected shortfall | Hedge funds | distortion risk measures | PERFORMANCE | portfolio selection | SURVIVORSHIP BIAS | hedge funds | spectral risk measures | ALLOCATION | DISTRIBUTIONS | BUSINESS, FINANCE | CONSTRUCTION | expected shortfall | ECONOMICS | STOCHASTIC-DOMINANCE | Investment analysis
Journal Article
Insurance Mathematics and Economics, ISSN 0167-6687, 05/2019, Volume 86, pp. 92 - 97
Given a set of independent and identically distributed claims, the expected average of the largest claims, with is shown to be a distortion risk measure with... 
Risk measure | Reinsurance | Stop-loss order | Order statistics | Premium principle | Excess-wealth order | AUCTIONS | STATISTICS & PROBABILITY | ORDER | RANDOM VECTORS | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | STOCHASTIC COMPARISONS | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | Distortion | Stochastic models | Expected utility | Risk assessment | Risk factors
Journal Article
Stochastic Models, ISSN 1532-6349, 12/2006, Volume 22, Issue 4, pp. 573 - 606
In this paper we examine and summarize properties of several well-known risk measures that can be used in the framework of setting solvency capital... 
Lognormal | Distortion | Comonotonicity | Theory of choice under risk | Risk measurer | 91B30 | ORDER | lognormal | comonotonicity | theory of choice under risk | STATISTICS & PROBABILITY | risk measurer | distortion
Journal Article
Mathematical Finance, ISSN 0960-1627, 01/2018, Volume 28, Issue 1, pp. 29 - 49
Journal Article
Statistics and Probability Letters, ISSN 0167-7152, 05/2015, Volume 100, pp. 172 - 175
Elicitability has recently been discussed as a desirable property for risk measures. Kou and Peng (2014) showed that an elicitable distortion risk measure is... 
Distortion risk measures | Elicitability | Value-at-Risk | STATISTICS & PROBABILITY
Journal Article
Applied Mathematics Letters, ISSN 0893-9659, 01/2014, Volume 27, pp. 85 - 89
We propose a class of distortion measures based on contagion from an external “scenario” variable. The dependence between the scenario and the variable whose... 
Copula functions | Contagion | Distortion measure | Systemic risk | MATHEMATICS, APPLIED | COPULAS | Horizontal | Mathematical analysis | Liabilities | Banks | Risk | Distortion | Mathematical models
Journal Article
Insurance Mathematics and Economics, ISSN 0167-6687, 09/2014, Volume 58, Issue 1, pp. 132 - 137
GlueVaR risk measures defined by Belles-Sampera et al. (2014) generalize the traditional quantile-based approach to risk measurement, while a subfamily of... 
Risk aversion | Subadditivity | Capital allocation | Distortion risk measure | Tails | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | TAIL | STATISTICS & PROBABILITY | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | Risk | Risc (Economia) | Capital | Assignació de recursos | Resource allocation
Journal Article
Insurance Mathematics and Economics, ISSN 0167-6687, 03/2015, Volume 61, pp. 70 - 75
In this paper, we consider the problem of optimal reinsurance design, when the risk is measured by a distortion risk measure and the premium is given by a... 
Distortion risk measure and premium | Social planner problem | Reinsurance problem | Reinsurance optimal policy | Ceding problem | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | INSURANCE | STATISTICS & PROBABILITY | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | PRINCIPLES
Journal Article
Journal of Financial Econometrics, ISSN 1479-8409, 12/2013, Volume 12, Issue 1, pp. 213 - 235
Journal Article
Insurance Mathematics and Economics, ISSN 0167-6687, 07/2017, Volume 75, pp. 105 - 116
Journal Article
Journal of Operational Risk, ISSN 1744-6740, 06/2018, Volume 13, Issue 2, pp. 35 - 57
We apply distortion functions to bivariate survival functions for non-negative random variables. This leads to a natural extension of univariate distortion... 
Distortion functions | Risk aggregation | Multivariate risk | Dependence | Multiperiod risk assessment | Multivariate loss | Avaluació del risc | Risk | Risc (Economia) | Anàlisi multivariable | Multivariate analysis | Risk assessment
Journal Article
ASTIN Bulletin, ISSN 0515-0361, 2015, Volume 45, Issue 3, pp. 703 - 728
This paper studies optimal risk redistribution between firms, such as banks or insurance companies. The introduction of the Basel II regulation and the Swiss... 
distortion risk measures | capital asset pricing model | Competitive equilibria | EXISTENCE | COHERENT MEASURES | PRICES | EFFICIENT ALLOCATIONS | STATISTICS & PROBABILITY | CHOICE | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | EXPECTED-UTILITY | DUAL THEORY | COMONOTONICITY | SOCIAL SCIENCES, MATHEMATICAL METHODS | AMBIGUITY | ECONOMICS | LAW-INVARIANT
Journal Article
Insurance, Mathematics & Economics, ISSN 0167-6687, 07/2017, Volume 75, p. 105
In this paper, we extend the concept of tail subadditivity (Belles-Sampera et al., 2014a; Belles-Sampera et al., 2014b) for distortion risk measures and give... 
Allocations | Risk allocation | Dependence | Distortion | Capital | Risk management | Multivariate analysis | Portfolio management
Journal Article
Investment Analysts Journal, ISSN 1029-3523, 07/2019, Volume 48, Issue 3, pp. 223 - 239
Investment portfolios are typically created to minimise the level of risk for a required level of return. This paper highlights the importance of the choice of... 
asset allocation | multi-asset portfolio construction | distortion measures | portfolio risk | risk measures | BUSINESS, FINANCE | PROSPECT-THEORY
Journal Article
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