Random distortion risk measures-Reference-Cited by-同舟云学术

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Random distortion risk measures

Published:2024-05 Issue: Volume:116 Page:51-73
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Zang Xin,Jiang Fan,Xia Chenxi,Yang Jingping

Funder

National Natural Science Foundation of China

Fundamental Research Funds for the Central Universities

Publisher

Elsevier BV

Reference68 articles.

1. Measuring systemic risk;Acharya;The Review of Financial Studies,2017

2. CoVaR;Adrian;American Economic Review,2016

3. Coherent measures of risk;Artzner;Mathematical Finance,1999

4. On optimal reinsurance policy with distortion risk measures and premiums;Assa;Insurance: Mathematics and Economics,2015

5. Properties of distortion risk measures;Balbás;Methodology and Computing in Applied Probability,2009

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