2011/06/14 by Brahim Brahimi, Brahimi, Brahim, Djamel Meraghni +3
Economics, Econometrics and Finance · Mathematics · #60B05 #62H20 #91B30 #FOS: Computer and information sciences #FOS: Economics and business #FOS: Mathematics #Methodology (stat.ME) #Risk Management (q-fin.RM) #Statistics Theory (math.ST) #math.ST #msc:60B05 #msc:62H20 #msc:91B30 #q-fin.RM #stat.ME #stat.TH
paper · pdf · doi:10.48550/arxiv.1106.2791
Accepted 25 October 2010, Journal Afrika Statistika Vol. 5, N9, 2010, page 260--267
arxiv created 2011/06/16 · arxiv updated 2011/06/17
We discuss two distinct approaches, for distorting risk measures of sums of dependent random variables, which preserve the property of coherence. The first, based on distorted expectations, operates on the survival function of the sum. The second, simultaneously applies the distortion on the survival function of the sum and the dependence structure of risks, represented by copulas. Our goal is to propose risk measures that take into account the fluctuations of losses and possible correlations between risk components.