Choosing a random distribution with prescribed risks Articles
- May 2013
Digital Object Identifier (DOI)
International Standard Serial Number (ISSN)
Electronic International Standard Serial Number (EISSN)
- 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.
- risk measure; random probability distribution; simulation; lorenz curve