Please use this identifier to cite or link to this item:
http://hdl.handle.net/2445/97864
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Belles Sampera, Jaume | - |
dc.contributor.author | Guillén, Montserrat | - |
dc.contributor.author | Santolino, Miguel | - |
dc.date.accessioned | 2016-04-26T07:48:53Z | - |
dc.date.available | 2016-04-26T07:48:53Z | - |
dc.date.issued | 2015 | - |
dc.identifier.uri | http://hdl.handle.net/2445/97864 | - |
dc.description.abstract | 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 discrete Choquet integrals provide informa- tion 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. | ca |
dc.format.extent | 38 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | ca |
dc.publisher | Universitat de Barcelona. Riskcenter | ca |
dc.relation.isformatof | Reproducció del document publicat a: http://www.ub.edu/riskcenter/research/WP/UBriskcenterWP201505.pdf | - |
dc.relation.ispartof | UB Riskcenter Working Paper Series, 2015/05 | - |
dc.relation.ispartofseries | [WP E-RC15/05] | - |
dc.rights | cc-by-nc-nd, (c) Belles Sampera et al., 2015 | - |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | - |
dc.source | UB RISKCENTER – Working Papers Series | - |
dc.subject.classification | Risc (Economia) | cat |
dc.subject.classification | Risc de crèdit | cat |
dc.subject.classification | Presa de decisions | cat |
dc.subject.classification | Indicadors econòmics | cat |
dc.subject.classification | Teoria d'operadors | - |
dc.subject.other | Risk | eng |
dc.subject.other | Credit risk | eng |
dc.subject.other | Decision making | eng |
dc.subject.other | Economic indicators | eng |
dc.subject.other | Operator theory | - |
dc.title | What attitudes to risk underlie distortion risk measure choices? [WP] | ca |
dc.type | info:eu-repo/semantics/workingPaper | ca |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | ca |
Appears in Collections: | UB RISKCENTER – Working Papers Series |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
Risk15-05_BellesSampera.pdf | 1.46 MB | Adobe PDF | View/Open |
This item is licensed under a Creative Commons License