Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses (Q654807)
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scientific article; zbMATH DE number 5991243
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses |
scientific article; zbMATH DE number 5991243 |
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Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses (English)
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21 December 2011
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proportional-hazard premium
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proportional-hazard transform
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distortion risk measure
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distortion parameter
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extreme value
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heavy tail
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risk aversion index
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