کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076336 | 1477207 | 2016 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
What attitudes to risk underlie distortion risk measure choices?
ترجمه فارسی عنوان
چه نگرش هایی به ریسک در معرض خطر اعوجاج انتخاب می کنند؟
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
چکیده انگلیسی
Understanding the attitude to risk implicit within a risk measure sheds some light on the way in which decision makers perceive losses. In this paper, a two-stage strategy is developed to characterize the underlying risk attitude involved in a risk evaluation, when executed by the family of distortion risk measures. First, we show that aggregation indicators defined for Choquet integrals provide information about the implicit global risk attitude of the agent. Second, an analysis of the distortion function offers a local description of the agent's stance on risk in relation to the occurrence of accumulated losses. Here, the concepts of absolute risk attitude and local risk attitude arise naturally. An example is provided to illustrate the usefulness of this strategy for characterizing risk attitudes in an insurance company.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 68, May 2016, Pages 101-109
Journal: Insurance: Mathematics and Economics - Volume 68, May 2016, Pages 101-109
نویسندگان
Jaume Belles-Sampera, Montserrat Guillen, Miguel Santolino,