Risk measures, distortion parameters, and their empirical estimation

By B. Jones, Ricardas Zitikis. 2007

58 citations recorded by the source corpus.

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

View Paper: https://www.semanticscholar.org/paper/b2097df35422b07986babc2c43c1816471b4df7b

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. Darinka Dentcheva †
2. Andrzej Ruszczynski
3. Francesca Greselin
4. Madan Lal Puri
5. Spiridon I. Penev
6. Ricardas Zitikis
7. Alexander Shapiro
8. Gautam Mitra

In Finance

1. Darinka Dentcheva †
2. Andrzej Ruszczynski
3. Spiridon I. Penev
4. Ricardas Zitikis
5. Francesca Greselin
6. Madan Lal Puri
7. Gautam Mitra
8. Diana Roman

In Management Science and Operations Research

1. Darinka Dentcheva †
2. Andrzej Ruszczynski
3. Spiridon I. Penev
4. Madan Lal Puri
5. Ricardas Zitikis
6. Francesca Greselin
7. Alexander Shapiro
8. Gautam Mitra

Citations in the corpus

• Statistical estimation of composite risk functionals and risk optimization problems (2015, methodology): “We refer to Jones and Zitikis (2003, 2007), Brazauskas et al. (2008), Beutner and Zähle (2010), Tsukahara (2013), Belomestny and Krätschmer (2012) for more details on this approach.”
• $L$-functions, processes, and statistics in measuring economic inequality and actuarial risks (2009, background): “Viewing LF (t) and RF as risk measures in an actuarial context, Jones and Zitikis [52] suggest, and justify, finding a ‘distortion’ parameter t such that the equation LF (t) = RF holds.”