| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076743 | Insurance: Mathematics and Economics | 2013 | 7 Pages |
Abstract
We describe several simulation algorithms that yield random probability distributions with given values of risk measures. In case of vanilla risk measures, the algorithms involve combining and transforming random cumulative distribution functions or random Lorenz curves obtained by simulating rather general random probability distributions on the unit interval. A new algorithm based on the simulation of a weighted barycentres array is suggested to generate random probability distributions with a given value of the spectral risk measure.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Ignacio Cascos, Ilya Molchanov,