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Choosing a random distribution with prescribed risks
- 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.
- Subjects :
- Statistics and Probability
Economics and Econometrics
Multivariate random variable
Cumulative distribution function
010102 general mathematics
Random function
01 natural sciences
Algebra of random variables
010104 statistics & probability
Random variate
Joint probability distribution
Statistics
Mixture distribution
Probability distribution
0101 mathematics
Statistics, Probability and Uncertainty
Mathematics
Subjects
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