Distorsion risk measures

Montserrat Guillén, Catalina Bolancé

The growing importance, of the financial and insurance institutions, to be able to measure and quantify the risk to which they are exposed, has opened an important gap in risk management. The solvency requirements by the regulatory agencies to deal with the losses from operations is quantified through risk measurements.


DATA DESCRIPTION
Name Content description
int_sim_table2_1.csv
 Internal Simulation.
ext_sim_table2_1.csv External Simulation.
functions.rar Necessary functions.



PRACTICE 1


REFERENCES

[1]Acerbi, C. Spectral measures of risk: A coherent representation of subjective risk aversion, Journal of Banking & Finance, 26,1505–1518.

[2]Erdman, D., Major, S. and Rioux, J. Evaluation of parameter risk via first-order approximation of distortion risk measures, The Journal of Operational Risk, Vol.5, No.1, 29-46.

[3]Jones, B.L. and Zitikis, R. Risk measures, distortion parameters, and their empirical estimation, Insurance: Mathematics and Economics, 41, 279–297

[4]Guegan, D. and Hassani, B. Distortion Risk Measures or the Transformation of Uni-modal Distributions into Multimodal Functions. Documents de travail du Centre d'Economie de la Sorbonne 2014.08 - ISSN : 1955-611X. 2014.

[5]Wu, X. and Zhou X. (2005) A new characterization of distortion premiums via countable additivity for comonotonic risks, Insurance: Mathematics and Economics, 38, 324–334.



excel HUBc BKC
  • Universitat de Barcelona - Last Updated: 05-23-2014