Distortion risk measures, ROC curves, and distortion divergence
Author:
Affiliation:
1. Faculty of Economics and Business , Section Quantitative Economics , University of Amsterdam , Roetersstraat 11 , Amsterdam , Netherlands
Abstract
Publisher
Walter de Gruyter GmbH
Subject
Statistics, Probability and Uncertainty,Modeling and Simulation,Statistics and Probability
Link
https://www.degruyter.com/document/doi/10.1515/strm-2017-0012/pdf
Reference40 articles.
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3. P. Artzner, F. Delbaen, J.-M. Eber and D. Heath, Coherent measures of risk, Math. Finance 9 (1999), 203–228. 10.1111/1467-9965.00068
4. H. Assa, On optimal reinsurance policy with distortion risk measures and premiums, Insurance Math. Econom. 61 (2015), 70–75. 10.1016/j.insmatheco.2014.11.007
5. A. G. Balter and A. Pelsser, Quantifying ambiguity bounds through hypothetical statistical testing, Working paper (2017), 10.2139/ssrn.2613843.
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