Dynamic capital allocation with distortion risk measures

By Andreas Tsanakas. 2004

75 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/2f3170f054e3152aeaf840aca7ed93950842e909

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Edward Furman
2. Ricardas Zitikis

In Finance

1. Edward Furman
2. Ricardas Zitikis
3. Jianxi Su
4. Michel Denuit

In Management Science and Operations Research

1. Edward Furman
2. Ricardas Zitikis
3. Jianxi Su
4. Michel Denuit

Citations in the corpus

• Weighted Pricing Functionals With Applications to Insurance (2009, methodology): “Indeed, when the distortion function g is differentiable and the cdf FX is continuous, then ¯ [X] E[Xg (F (X))], (2.3)g X which is a representation extensively utilized by Tsanakas and Barnett (2003), Tsanakas and Desli (2003), Tsanakas (2004, 2005), and Tsanakas and Christofides (2006).”
• Optimal Capital Allocation Principles (2005, unknown): “Keywords: Capital allocation; risk measure; comonotonicity; Euler allocation; default option; Lloyd’s of London.”