Fitxers

658633.pdf (552.66 KB)

Tipus de document

Article

Versió

Versió acceptada

Data de publicació

2016-05

Llicència de publicació

cc-by-nc-nd (c) Elsevier B.V., 2016
Si us plau utilitzeu sempre aquest identificador per citar o enllaçar aquest document: https://hdl.handle.net/2445/106659

What attitudes to risk underlie distortion risk measure choices?

Títol de la revista

Autors

Director/Tutor

ISSN de la revista

Títol del volum

Recurs relacionat

https://doi.org/10.1016/j.insmatheco.2016.02.005

Resum

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.

Matèries

Risc (Economia), Risc de crèdit, Presa de decisions, Indicadors econòmics, Teoria d'operadors

Matèries (anglès)

Risk, Credit risk, Decision making, Economic indicators, Operator theory

Citació

Col·leccions

Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)

Citació

BELLES SAMPERA, Jaume, GUILLÉN, Montserrat and SANTOLINO, Miguel. What attitudes to risk underlie distortion risk measure choices?. Insurance Mathematics and Economics. 2016. Vol. 68, num. May, pags. 101-109. ISSN 0167-6687. [consulted: 24 of May of 2026]. Available at: https://hdl.handle.net/2445/106659

Exportar metadades

JSON - METS

Compartir registre