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Optimal Reinsurance under Distortion Risk Measures
Distortion risk measure expected premium principle the optimal reinsurance strategy VaR TVaR
2016/1/25
In this paper, we discuss the optimal reinsurance strategy of minimizing the in-surer’s risk under the distortion risk measure. We assume that reinsurance premium is determined by the expected premium...
Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles Matrices
Optimal reinsurance Distortion risk measure Reinsurance pre- mium principle Wang’s premium principle VaR TVaR
2016/1/25
Recently the optimal reinsurance strategy concerning the insurer’s risk attitude and the reinsurance premium principle is an interesting topic. This paper discusses the optimal reinsurance problem wit...
Optimal Reinsurance under Distortion Risk Measures
Distortion risk measure expected premium principle the optimal reinsurance strategy VaR TVaR
2016/1/20
In this paper, we discuss the optimal reinsurance strategy of minimizing the in-surer’s risk under the distortion risk measure. We assume that reinsurance premium is determined by the expected premium...
Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles Matrices
Optimal reinsurance Distortion risk measure Wang’s premium principle VaR TVaR
2016/1/20
Recently the optimal reinsurance strategy concerning the insurer’s risk attitude and the reinsurance premium principle is an interesting topic. This paper discusses the optimal reinsurance problem wit...
Fractal-driven distortion of resting state functional networks in fMRI: a simulation study
Fractal-driven distortion resting state functional networks simulation study
2012/9/17
Fractals are self-similar and scale-invariant patterns found ubiquitously in nature. A lot of evidences implying fractal properties such as 1/f power spectrums have been also observed in resting state...
Stochastic linear programming with a distortion risk constraint
Robust optimization weighted-mean trimmed regions central regions coherent risk measure spectral risk measure mean-risk portfolio.
2012/9/17
Linear optimization problems are investigated whose parametersare uncertain. We apply coherent distortion risk measures to capture the pos-sible violation of a restriction. Each risk constraint induce...
Distortion risk measures for sums of dependent losses
Coherence Dependence structure Distortion function Risk measure Risk theory
2011/7/5
We discuss two distinct approaches, for distorting risk measures of sums of dependent random variables, which preserve the property of coherence. The first, based on distorted expectations, operates o...
A framework is developed using techniques from
rate distortion theory in statistical testing. The idea is first to do
optimal compression according to a certain distortion function
and then use inf...
Estimation of the Rate-Distortion Function
Rate-distortion function entropy estimation consistency maximum likelihood plug-in estimator
2010/4/27
Motivated by questions in lossy data compression and by theoretical considerations, we examine the problem of estimating the rate-distortion function of an unknown (not necessarily discrete-valued) so...
