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http://archives.univ-biskra.dz/handle/123456789/2265| 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 insurance 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 http://www.ajol.info/index.php/afst/article/view/71063 |
| URI: | http://archives.univ-biskra.dz/handle/123456789/2265 |
| Appears in Collections: | Publications Internationales |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Distortion risk measures for sums of dependent losses.pdf | 39,03 kB | Adobe PDF | View/Open |
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