In this paper we consider the problem of determining approximations for distortion risk measures of sums of non-independent random variables. First, we give an overview of the recent actuarial literature on distortion risk measures and convex bounds for sums of random variables. Then, we examine the case of discrete risks with identical distribution. Upper and lower bounds for risk mea- sures of sums of risks are presented in the case of concave distortion functions. The result is then extended to cover the case of non necessarily discrete risks.
On distortion risk measures for sums of discrete and identically distributed risks
FERRETTI, Paola
2006-01-01
Abstract
In this paper we consider the problem of determining approximations for distortion risk measures of sums of non-independent random variables. First, we give an overview of the recent actuarial literature on distortion risk measures and convex bounds for sums of random variables. Then, we examine the case of discrete risks with identical distribution. Upper and lower bounds for risk mea- sures of sums of risks are presented in the case of concave distortion functions. The result is then extended to cover the case of non necessarily discrete risks.File in questo prodotto:
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