Bounds for Distorted Risk Measures

Goncalves Marcelo, Kolev Nikolai and Fabris Antonio
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Goncalves Marcelo: Institute of Mathematics and Statistics, University of Sao Paulo, C.P. 66281, 05311-970 Sao Paulo, Brazil
Kolev Nikolai: Institute of Mathematics and Statistics, University of Sao Paulo, C.P. 66281, 05311-970 Sao Paulo, Brazil. nkolev@ime.usp.br
Fabris Antonio: Institute of Mathematics and Statistics, University of Sao Paulo, C.P. 66281, 05311-970 Sao Paulo, Brazil

Stochastics and Quality Control, 2008, vol. 23, issue 2, 243-255

Abstract: The aim of this paper is to provide bounds for distorted risk measures when the joint distribution of the risk factors is unspecified but the marginal distributions are known. For convex distortion functions, a methodology to calculate the corresponding bounds is suggested and illustrated by several examples.

Keywords: Algorithm; bounds; copulas; distortion risk measures (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1515/EQC.2008.243

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