Construct · 1 fields · 1 citations

distortion risk measure: a standalone construct

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distortionrisk measure1 CONSTRUCTDistortion risk measureWANG · ACTUARIAL SCIENCE

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Actuarial science

a risk measure that prices a loss by applying a concave distortion to its decumulative distribution, putting extra weight on the tail.

In actuarial science, distortion risk measure refers to a risk measure that prices a loss by applying a concave distortion to its decumulative distribution, putting extra weight on the tail. This meaning comes from Wang (1996) in ASTIN Bulletin.[1]

Unit
Recovery means
Measured by

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Nearby constructs

distortion4 fields · 7 citationsjingle · one word, four constructsdistribution2 fields · 2 citationsjingle · one word, two constructsloss2 fields · 3 citationsjingle · one word, two constructs

References

  1. Wang, S. (1996). Premium Calculation by Transforming the Layer Premium Density. ASTIN Bulletin, 26(1), 71-92. https://doi.org/10.2143/ast.26.1.563234

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