DISTORTION RISK MEASURES, AMBIGUITY AVERSION AND OPTIMAL EFFORT
نویسندگان
چکیده
منابع مشابه
Distortion risk measures, ambiguity aversion and optimal effort
We consider the class of concave distortion risk measures to study how choice is influenced by the decision-maker’s attitude to risk and provide comparative static results. We also assume ambiguity about the probability distribution of the risk and consider a framework à la Klibanoff, Marinacci, and Mukerji (2005) to study the value of information that resolves ambiguity. We show that this valu...
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In this paper, we consider the problem of optimal reinsurance design, when the risk is measured by a distortion risk measure and the premium is given by a distortion risk premium. First, we show how the optimal reinsurance design for the ceding company, the reinsurance company and the social planner can be formulated in the same way. Second, by introducing the “marginal indemnification function...
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The concept of coherent risk measure was introduced in Artzner et al. (1999). They listed some properties, called axioms of ‘coherence’, that any good risk measure should possess, and studied the (non-)coherence of widely-used risk measure such as Value-atRisk (VaR) and expected shortfall (also known as tail conditional expectation or tail VaR). Kusuoka (2001) introduced two additional axioms c...
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ژورنال
عنوان ژورنال: ASTIN Bulletin
سال: 2014
ISSN: 0515-0361,1783-1350
DOI: 10.1017/asb.2014.3