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Title: Distortion risk measures for sums of dependent losses
Authors: Brahimi Brahim
Meraghni Djamel
Necir Abdelhakim
Keywords: Coherence
Dependence structure
Distortion function
Risk measure
Risk theory
Wang transform
Issue Date: 11-Apr-2013
Abstract: We discuss two distinct approaches, for distorting risk measures of sums of dependent random variables, which preserve the property of coherence. The first, based on distorted expectations, operates on the survival function of the sum. The second, simultaneously applies the distortion on the survival function of the sum and the dependence structure of risks, represented by copulas. Our goal is to propose risk measures that take into account the fluctuations of losses and possible correlations between risk components. Link
Appears in Collections:Publications Internationales

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