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Premium Calculation for Fat-tailed Risk - MaRDI portal

Premium Calculation for Fat-tailed Risk (Q5490584)

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scientific article; zbMATH DE number 5060048
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English
Premium Calculation for Fat-tailed Risk
scientific article; zbMATH DE number 5060048

    Statements

    title
    Premium Calculation for Fat-tailed Risk (English)
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    author
    Roger Gay
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    publication date
    4 October 2006
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    zbMATH Keywords
    exponential principle
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    power principle, constant risk aversion
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    tail-index uncertainty
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    expected value of extremes
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    cites work
    Q4777828
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    Q4365234
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    Q4343010
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    Order Statistics
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    Q3771297
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    Q4101268
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    Identifiers

    Mathematics Subject Classification ID
    62P05
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    62G32
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    91B30
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    zbMATH DE Number
    5060048
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    OpenAlex ID
    W4244194047
    0 references
     
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