scholarly journals An improved estimator of the distortion risk measure for heavy-tailed claims

2014 ◽  
Vol 44 (20) ◽  
pp. 1-1
Author(s):  
Abdelaziz Rassoul
Keyword(s):  
Risk Measure ◽  
Distortion Risk Measure ◽  
Heavy Tailed

scholarly journals What attitudes to risk underlie distortion risk measure choices?

2016 ◽  
Vol 68 ◽  
pp. 101-109 ◽  
Author(s):  
Jaume Belles-Sampera ◽  
Montserrat Guillen ◽  
Miguel Santolino
Keyword(s):  
Risk Measure ◽  
Distortion Risk Measure

Asymptotics of the risk concentration based on the tail distortion risk measure

2013 ◽  
Vol 83 (12) ◽  
pp. 2703-2710 ◽  
Author(s):  
Wenhua Lv ◽  
Xiaoqing Pan ◽  
Taizhong Hu
Keyword(s):  
Risk Measure ◽  
Distortion Risk Measure

Haezendonck–Goovaerts risk measure with a heavy tailed loss

2017 ◽  
Vol 76 ◽  
pp. 28-47 ◽  
Author(s):  
Qing Liu ◽  
Liang Peng ◽  
Xing Wang
Keyword(s):  
Risk Measure ◽  
Heavy Tailed

Computing Sensitivities for Distortion Risk Measures

2021 ◽  
Author(s):  
Peter W. Glynn ◽  
Yijie Peng ◽  
Michael C. Fu ◽  
Jian-Qiang Hu
Keyword(s):  
Risk Management ◽  
Central Limit Theorem ◽  
Limit Theorem ◽  
Risk Measures ◽  
Risk Measure ◽  
Tail Probability ◽  
Sample Paths ◽  
Distortion Risk Measure ◽  
Distortion Functions ◽  
Ratio Estimators

Distortion risk measure, defined by an integral of a distorted tail probability, has been widely used in behavioral economics and risk management as an alternative to expected utility. The sensitivity of the distortion risk measure is a functional of certain distribution sensitivities. We propose a new sensitivity estimator for the distortion risk measure that uses generalized likelihood ratio estimators for distribution sensitivities as input and establish a central limit theorem for the new estimator. The proposed estimator can handle discontinuous sample paths and distortion functions.

Coherent Risk Measures

2014 ◽  
pp. 115-142
Keyword(s):  
At Risk ◽  
Extreme Value Theory ◽  
Risk Measures ◽  
Risk Measure ◽  
Value Theory ◽  
Extreme Value ◽  
Expected Shortfall ◽  
Coherent Risk Measures ◽  
Coherent Risk ◽  
Distortion Risk Measure

This chapter introduces some alternative risk measures to Vale-At-Risk (VaR) calculations: Extreme Value Theory (EVT), Expected Shortfall (ES) and distortion risk measure. It also discusses their more coherent characteristics useful for shoring up the weaknesses of VaR.

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