Pareto-Optimal Peer-to-Peer Risk Sharing with Robust Distortion Risk Measures
The paper explores Pareto optimality in decentralized peer-to-peer risk-sharing markets using robust distortion risk measures. It...
top of page
Rechercher
6 août
An Integrated Approach to Importance Sampling and Machine Learning for Efficient Monte Carlo Estimation of Distortion Risk Measures in Black Box Models
“ In this paper, we propose an efficient important sampling method for distortion risk measures in such models that reduces the...
16 mai
Estimation of Generalized Tail Distortion Risk Measures with Applications in Reinsurance
New estimators for generalized tail distortion (GTD) risk measures are proposed, based on first-order asymptotic expansions, offering...
bottom of page