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Choosing a random distribution with prescribed risks

Authors :
IGNACIO CASCOS FERNANDEZ
SMABSS RG
Ilya Molchanov
Source :
Insurance: Mathematics and Economics
Publication Year :
2013
Publisher :
Elsevier BV, 2013.

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.

Details

ISSN :
01676687
Volume :
52
Database :
OpenAIRE
Journal :
Insurance: Mathematics and Economics
Accession number :
edsair.doi.dedup.....80a56536cf778197d3878f7e1e0710b7
Full Text :
https://doi.org/10.1016/j.insmatheco.2013.03.014