On distortion functionals

IF 1.3 Q2 STATISTICS & PROBABILITY

Statistics & Risk Modeling Pub Date : 2006-07-01 DOI:10.1524/stnd.2006.24.1.45

G. Pflug

引用次数: 42

Abstract

SUMMARY Distorted measures have been used in pricing of insurance contracts for a long time. This paper reviews properties of related acceptability functionals in risk management, called distortion functionals. These functionals may be characterized by being mixtures of average values-at-risk. We give a dual representation of these functionals and show how they may be used in portfolio optimization. An iterative numerical procedure for the solution of these portfolio problems is given which is based on duality.

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关于畸变泛函

长期以来，在保险合同定价中一直采用扭曲计量方法。本文综述了风险管理中相关的可接受泛函的性质，即失真泛函。这些函数的特征可能是风险平均值的混合物。我们给出了这些函数的对偶表示，并展示了它们如何用于投资组合优化。给出了一种基于对偶的组合问题的迭代数值求解方法。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Statistics & Risk Modeling STATISTICS & PROBABILITY-

CiteScore

1.80

自引率

6.70%

发文量

期刊介绍： Statistics & Risk Modeling (STRM) aims at covering modern methods of statistics and probabilistic modeling, and their applications to risk management in finance, insurance and related areas. The journal also welcomes articles related to nonparametric statistical methods and stochastic processes. Papers on innovative applications of statistical modeling and inference in risk management are also encouraged. Topics Statistical analysis for models in finance and insurance Credit-, market- and operational risk models Models for systemic risk Risk management Nonparametric statistical inference Statistical analysis of stochastic processes Stochastics in finance and insurance Decision making under uncertainty.