Distortion risk measures for sums of dependent losses

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DC Field	Value	Language
dc.contributor.author	Brahimi Brahim	-
dc.contributor.author	Meraghni Djamel	-
dc.contributor.author	Necir Abdelhakim	-
dc.date.accessioned	2013-04-11T14:39:07Z	-
dc.date.available	2013-04-11T14:39:07Z	-
dc.date.issued	2013-04-11	-
dc.identifier.uri	http://archives.univ-biskra.dz/handle/123456789/2265	-
dc.description.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 http://www.ajol.info/index.php/afst/article/view/71063	en_US
dc.subject	Coherence	en_US
dc.subject	Dependence structure	en_US
dc.subject	Distortion function	en_US
dc.subject	Risk measure	en_US
dc.subject	Risk theory	en_US
dc.subject	insurance	en_US
dc.subject	Wang transform	en_US
dc.title	Distortion risk measures for sums of dependent losses	en_US
dc.type	Article	en_US
Appears in Collections:	Publications Internationales

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