南方科技大学知识苑(SUSTech KC): Systemic risk: Conditional distortion risk measures

题名	Systemic risk: Conditional distortion risk measures
作者	Dhaene，Jan 1; Laeven，Roger J.A.1,2; Zhang，Yiying3
通讯作者	Zhang，Yiying
发表日期	2022
DOI	10.1016/j.insmatheco.2021.12.002
发表期刊	INSURANCE MATHEMATICS & ECONOMICS 影响因子和分区
ISSN	0167-6687
EISSN	1873-5959
卷号	102页码:126-145
摘要	In this paper, we introduce the rich classes of conditional distortion (CoD) risk measures and distortion risk contribution (ΔCoD) measures as measures of systemic risk and analyze their properties and representations. The classes unify, and significantly extend, existing systemic risk measures such as the conditional Value-at-Risk, conditional Expected Shortfall, and risk contribution measures in terms of the VaR and ES. We provide sufficient conditions for two random vectors to be ordered by the proposed CoD-risk measures and ΔCoD-measures. These conditions are expressed using the conventional stochastic dominance, increasing convex/concave, dispersive, and excess wealth orders for the marginals and canonical positive/negative stochastic dependence notions.
关键词	Co-risk measures Copula Distortion risk measures Risk contribution measures Stochastic orders Systemic risk
相关链接	[Scopus记录]
收录类别	SCI ; SSCI
语种	英语
学校署名	通讯
资助项目	National Natural Science Foundation of China[12101336];Natural Science Foundation of Tianjin City[20JCQNJC01740];Fonds Wetenschappelijk Onderzoek[GOC3817N];Nederlandse Organisatie voor Wetenschappelijk Onderzoek[NWO VIDI];
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
WOS类目	Economics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods ; Statistics & Probability
WOS记录号	WOS:000776257700004
出版者	ELSEVIER
ESI学科分类	ECONOMICS BUSINESS
Scopus记录号	2-s2.0-85121109442
来源库	Scopus
引用统计	被引频次[WOS]：8
成果类型	期刊论文
条目标识符	http://sustech.caswiz.com/handle/2SGJ60CL/315787
专题	理学院_数学系
作者单位	1.Faculty of Business and Economics,Katholieke Universiteit Leuven,Belgium 2.Amsterdam School of Economics,University of Amsterdam,Netherlands 3.Department of Mathematics,Southern University of Science and Technology,China
通讯作者单位	数学系
推荐引用方式 GB/T 7714	Dhaene，Jan,Laeven，Roger J.A.,Zhang，Yiying. Systemic risk: Conditional distortion risk measures[J]. INSURANCE MATHEMATICS & ECONOMICS,2022,102:126-145.
APA	Dhaene，Jan,Laeven，Roger J.A.,&Zhang，Yiying.(2022).Systemic risk: Conditional distortion risk measures.INSURANCE MATHEMATICS & ECONOMICS,102,126-145.
MLA	Dhaene，Jan,et al."Systemic risk: Conditional distortion risk measures".INSURANCE MATHEMATICS & ECONOMICS 102(2022):126-145.