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The Price of Dynamic Inconsistency for Distortion Risk Measures
The Price of Dynamic Inconsistency Distortion Risk Measures potentially inconsistent behavior.
2011/7/4
A proper framework for measuring and mitigating risk in dynamic settings is of utmost importance,
on both a practical, as well as a theoretical level. In recent years, coherent risk measures have eme...
Distortion risk measures for sums of dependent losses
Coherence Dependence structure Distortion function Risk measure Risk theory insurance Wang transform
2011/7/5
We discuss two distinct approaches, for distorting risk measures of sums of dependent random variables,
which preserve the property of coherence. The first, based on distorted expectations, operates ...
Information Distortion in Supply Chain: A Simulation Approach to Quantifying the Bullwhip Effect
Information distortion supply chain simulation
2011/6/1
Supply chain exists due to the fact that it is difficult for any company to provide all that is required from raw materials to final products and at the same time get the products to the end users.
Concave Distortion Semigroups
Coherent acceptability index concave distortion semigroup generator of a distortion semigroup Wang transform
2011/7/22
Abstract: The problem behind this paper is the proper measurement of the degree of quality/acceptability/distance to arbitrage of trades. We are narrowing the class of coherent acceptability indices i...
Optimal Stopping under Probability Distortion
optimal stopping probability distortion Choquet expectation probability distribution/qunatile function Skorokhod embedding problem S-shaped and reverse S-shaped function
2011/3/31
We formulate an optimal stopping problem where the probability scale is distorted by a general nonlinear function. The problem is inherently time inconsistent due to the Choquet integration involved. ...
IS THERE SUPPLY DISTORTION IN THE GREEN BOX? AN ACREAGE RESPONSE APPROACH
SUPPLY DISTORTION THE GREEN BOX ACREAGE RESPONSE APPROACH
2014/4/11
In the Uruguay Round of the General Agreement on Tariffs and Trade (GATT), the distortionary effects of domestic farm programs figured high on the negotiating agenda. Along with the export subsidies a...