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Please use this identifier to cite or link to this item: https://digital.lib.ueh.edu.vn/handle/UEH/62334
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dc.contributor.authorLy S.-
dc.contributor.authorPham U.H.-
dc.contributor.authorBriš R.-
dc.date.accessioned2021-09-05T07:41:29Z-
dc.date.available2021-09-05T07:41:29Z-
dc.date.issued2016-
dc.identifier.isbn9781138029286-
dc.identifier.urihttps://www.researchgate.net/publication/313919268_On_the_distortion_risk_measure_using_copulas_Proceedings_of_the_1st_International_Conference_on_Applied_Mathematics_in_Engineering_and_Reliability_Ho_Chi_Minh_City_Vietnam_4-6_May_2016-
dc.identifier.urihttp://digital.lib.ueh.edu.vn/handle/UEH/62334-
dc.description.abstractDistortion risk measure is a very effective tool for quantifying losses in finance and insurance while copulas play an important role in modeling dependence structure of random vectors. In this paper, we propose a new method to estimate distortion risk measures and use copulas to find the distribution of a linear combination of two dependent continuous random variables. As a result, partial risks as well as aggregate risk are definitely estimated via distortion risk measure using copulas approach.en
dc.formatPortable Document Format (PDF)-
dc.language.isoeng-
dc.publisherCRC Press/Balkem-
dc.relation.ispartofIn book: Applied Mathematics in Engineering and Reliability-
dc.rightsTaylor & Francis Group, London-
dc.subjectDistortion risken
dc.subjectCopulasen
dc.titleOn the distortion risk measure using Copulasen
dc.typebook chapteren
dc.format.firstpage309-
dc.format.lastpage316-
item.grantfulltextnone-
item.cerifentitytypePublications-
item.fulltextOnly abstracts-
item.openairetypebook chapter-
item.languageiso639-1en-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
Appears in Collections:INTERNATIONAL PUBLICATIONS
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