On the distortion risk measure using copulas

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27240%2F16%3A86099240" target="_blank" >RIV/61989100:27240/16:86099240 - isvavai.cz</a>
Alternative codes found
RIV/61989100:27740/16:86099240
Result on the web
<a href="http://www.crcnetbase.com/doi/pdfplus/10.1201/b21348-51" target="_blank" >http://www.crcnetbase.com/doi/pdfplus/10.1201/b21348-51</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1201/b21348-51" target="_blank" >10.1201/b21348-51</a>

Result language
angličtina
Original language name
On the distortion risk measure using copulas
Original language description
Distortion risk measure is a very effective tool for quantifying losses in finance and insurance while copulas play an important role in modeling dependence structure of random vectors. In this paper, we propose a new method to estimate distortion risk measures and use copulas to find the distribution of a linear combination of two dependent continuous random variables. As a result, partial risks as well as aggregate risk are definitely estimated via distortion risk measure using copulas approach.
Czech name
—
Czech description
—

Project
<a href="/en/project/LQ1602" target="_blank" >LQ1602: IT4Innovations excellence in science</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Applied Mathematics in Engineering and Reliability : proceedings of the 1st International Conference on Applied Mathematics in Engineering and Reliability : Ho Chi Minh City, Vietnam, 4-6 May 2016
ISBN
978-1-138-02928-6
ISSN
—
e-ISSN
—
Number of pages
7
Pages from-to
309-315
Publisher name
CRC PRESS-TAYLOR & FRANCIS GROUP
Place of publication
London
Event location
Ho Či Minovo Město
Event date
May 4, 2016
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000387432400039

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