Choosing a random distribution with prescribed risks

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<title>Choosing a random distribution with prescribed risks</title>
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<namePart>Cascos, Ignacio</namePart>
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<abstract displayLabel="Summary">We describe several simulation algorithms that yield random probability distributions with given values of risk measures. In case of vanilla risk measures, the algorithms involve combining and transforming random cumulative distribution functions or random Lorenz curves obtained by simulating rather general random probability distributions on the unit interval. A new algorithm based on the simulation of a weighted barycentres array is suggested to generate random probability distributions with a given value of the spectral risk measure.</abstract>
<note type="statement of responsibility">Ignacio Cascos, Ilya Molchanov</note>
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<title>Insurance : mathematics and economics</title>
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<publisher>Oxford : Elsevier, 1990-</publisher>
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<identifier type="issn">0167-6687</identifier>
<identifier type="local">MAP20077100574</identifier>
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<text>06/05/2013 Volumen 52 Número 3 - mayo 2013 </text>
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