Risk Measures and Theories of Choice

By Andreas Tsanakas, E. Desli. 2003

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Weighted Risk Capital Allocations (2008, unknown): “…literature; see, e.g., Gerber (1979), Bühlmann (1980, 1984), Goovaerts et al. (1984), Denneberg (1994), Kaas et al. (1994), Wang (1995, 1996, 1998), Tsanakas and Desli (2003), Heilpern (2003), Young (2004), Denuit et al. (2005), Denuit et al. (2006), Dhaene et al. (2006), Furman and Landsman…”
Risk measurement with equivalent utility principles (2006, methodology): “Heilpern (2003) and Tsanakas & Desli (2003) introduce a class of risk measures which can be considered as the solutions of the indifference equations for RDEU.”
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).”
Risk Measures and Comonotonicity: A Review (2006, unknown): “[11], Tsanakas and Desli[26], Hürlimann[16] among others.”
To Split or Not to Split: Capital Allocation with Convex Risk Measures (2007, unknown): “For such a perspective see Tsanakas and Desli (2003) and also the review Denuit et al. (2006).”