Choosing a random distribution with prescribed risks

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      <subfield code="a">Cascos, Ignacio</subfield>
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      <subfield code="a">Choosing a random distribution with prescribed risks</subfield>
      <subfield code="c">Ignacio Cascos, Ilya Molchanov</subfield>
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      <subfield code="a">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.</subfield>
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      <subfield code="t">Insurance : mathematics and economics</subfield>
      <subfield code="d">Oxford : Elsevier, 1990-</subfield>
      <subfield code="x">0167-6687</subfield>
      <subfield code="g">06/05/2013 Volumen 52 Número 3 - mayo 2013 </subfield>
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