A0634
Title: Distortion risk contribution ratio measures: Definitions and comparisons
Authors: Yiying Zhang - Southern University of Science and Technology (China) [presenting]
Abstract: Relative spillover effects play a key role in analyzing and comparing systemic risks. We introduce the so-called distortion risk contribution ratio measures. Various types of contribution ratio measures are defined and their useful integral-based representations are provided. We establish comparison results between the proposed risk contribution ratio measures of two different bivariate random vectors with the same or different copulas. Sufficient conditions are established in terms of stochastic orders, dependence structures, distortion functions and stress levels. We also study the ordering behavior of these measures on the interaction between paired risks. Numerical examples are also presented as illustrations.