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Bounds for Concave Distortion Risk Measures for Sums of Risks
| Content Provider | Semantic Scholar |
|---|---|
| Author | Campana, Antonella Ferretti, Paola |
| Copyright Year | 2008 |
| Abstract | In this paper we consider the problem of studying the gap between bounds of risk measures of sums of non-independentrandom variables. Owing to the choice of the context of where to set the problem, namely that of distortion risk measures, we first deduce an explicit formula for the risk measure of a discrete risk by referring to its writing as sum of layers. Then, we examine the case of sums of discrete risks with identical distribution. Upper and lower bounds for risk measures of sums of risks are presented in the case of concave distortion functions. Finally, the attention is devoted to the analysis of the gap between risk measures of upper and lower bounds, with the aim of optimizing it. |
| Starting Page | 43 |
| Ending Page | 51 |
| Page Count | 9 |
| File Format | PDF HTM / HTML |
| DOI | 10.1007/978-88-470-0704-8_6 |
| Alternate Webpage(s) | https://page-one.springer.com/pdf/preview/10.1007/978-88-470-0704-8_6 |
| Alternate Webpage(s) | https://doi.org/10.1007/978-88-470-0704-8_6 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
