Risk measures, distortion parameters, and their empirical estimation

Approximation Theorems of Mathematical Statistics.

R. J. Serfling · Biometrics · 1981 · 1.1K citations

Natural Sciences, Mathematics, Probability Theory +13

A Class of Distortion Operators for Pricing Financial and Insurance Risks

Shaun S. Wang · Journal of Risk & Insurance · 2000 · 673 citations

Business, Insurance, Risk Management +13

Actuarial Mathematics.

Louis M. Friedler, Newton L. Bowers, Hans U. Gerber et al. · American Mathematical Monthly · 1986 · 633 citations

Application of Coherent Risk Measures to Capital Requirements in Insurance

Philippe Artzner · North American Actuarial Journal · 1999 · 213 citations

Business, Insurance, Risk Management +17

Economic capital allocation derived from risk measures

Lirias (KU Leuven) · 2002 · 207 citations · Full text

Business, Economics, Insurance +13