Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures-Reference-Cited by-同舟云学术

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Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures

Published:2017-07 Issue: Volume:75 Page:105-116
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Cai Jun,Wang Ying,Mao Tiantian

Funder

Natural Sciences and Engineering Research Council (NSERC) of Canada

National Science Foundation of China

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference19 articles.

1. Asymptotics for risk capital allocations based on conditional tail expectation;Asimit;Insurance Math. Econom.,2011

2. Beyond value-at-risk: GlueVaR distortion risk measure;Belles-Sampera;Risk Anal.,2014

3. GlueVaR risk measures in capital allocation applications;Belles-Sampera;Insurance Math. Econom.,2014

4. What attitudes to risk underlie distortion risk measure choices?;Belles-Sampera;Insurance Math. Econom.,2016

5. Conditional tail expectations for multivariate phase type distributions;Cai;J. Appl. Probab.,2005

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1. The Tail Mean–Variance optimal capital allocation under the extended skew-elliptical distribution;Journal of Computational and Applied Mathematics;2024-10

2. Multivariate range Value-at-Risk and covariance risk measures for elliptical and log-elliptical distributions;Communications in Statistics - Theory and Methods;2024-07-25

3. Revisit optimal reinsurance under a new distortion risk measure;Communications in Statistics - Theory and Methods;2023-06-27

4. Measuring Systemic Governmental Reinsurance Risks of Extreme Risk Events;Risks;2023-02-23

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