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Bounds for Distorted Risk Measures
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Marcelo Goncalves
Published/Copyright:
March 15, 2010
Abstract
The aim of this paper is to provide bounds for distorted risk measures when the joint distribution of the risk factors is unspecified but the marginal distributions are known. For convex distortion functions, a methodology to calculate the corresponding bounds is suggested and illustrated by several examples.
Published Online: 2010-03-15
Published in Print: 2008-October
© Heldermann Verlag
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Articles in the same Issue
- Stochastic Measurement Procedures Based on Stationary Time Series
- Semi-Parametric Estimation of PX,Y (X > Y)
- On The Performance of A New Test of Exponentiality Against IFR Alternatives Based on the L-statistic Approach
- Control Chart for Autocorrelated Processes with Heavy Tailed Distributions
- Designing the Scale Counting Procedure for Large Numbers of Small Parts
- MTBF for K-out-of-N: G Systems with M Failure Modes
- Non-parametric Control Chart for Controlling Variability Based on Rank Test
- Bounds for Distorted Risk Measures
- Parameter Estimation for the Bivariate Exponential Distribution by the EM Algorithm Based on Censored Samples
- Explicit Expressions for Moments of Log Normal Order Statistics
- Partially Specified Prior
- The Need for a Standard for Making Predictions
