Distortion Risk Measures and Economic Capital
By Werner Hürlimann. 2004
62 citations recorded by the source corpus.
Subfields: Demography, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/0ada8e7370158dfb11e1113cd34d9ca595dbba4b
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Demography
- Jan Dhaene
- Rob Kaas
- Michel Denuit
- Marc J. Goovaerts
- Roger J. A. Laeven
- Jorge Navarro
- Francisco J. Samaniego
- Emiliano A. Valdez
In Finance
- Jan Dhaene
- Marc J. Goovaerts
- Michel Denuit
- Rob Kaas
- Roger J. A. Laeven
- Francisco J. Samaniego
- Jorge Navarro
- Ruodu Wang
In Management Science and Operations Research
- Jan Dhaene
- Marc J. Goovaerts
- Michel Denuit
- Rob Kaas
- Roger J. A. Laeven
- Francisco J. Samaniego
- Jorge Navarro
- Emiliano A. Valdez
Citations in the corpus
- Risk Measures and Comonotonicity: A Review (2006, unknown): “[11], Tsanakas and Desli[26], Hürlimann[16] among others.”
- Risk measurement with equivalent utility principles (2006, methodology): “The risk measure is then obtained by an equivalence principle: the decision-maker is indifferent between the cash-flow [X] − X (corresponding to the case whereX is covered) and 0 (no coverage).”
- On comparing coherent systems with heterogeneous components (2016, methodology): “These kinds of distributions were called generalized distorted distributions (GDD) in [21] and they are the natural extensions of the distorted distribution (DD) defined in [10], [24], and [30]–[32] which are obtained when r = 1.”