Risk measures and insurance premium principles.

DOI10.1016/S0167-6687(01)00076-2zbMath1055.91053OpenAlexW1991070955MaRDI QIDQ1413286

Zinoviy Landsman, Michael Sherris

Publication date: 16 November 2003

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(01)00076-2

zbMATH Keywords

Distortion functionDiversification

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (12)

Risk measures, distortion parameters, and their empirical estimation ⋮ A quantile regression approach for the analysis of the diversification in non-life premium risk ⋮ Cooperative hedging in the complete market under \(g\)-expectation constraint ⋮ RISK MEASURES DERIVED FROM A REGULATOR’S PERSPECTIVE ON THE REGULATORY CAPITAL REQUIREMENTS FOR INSURERS ⋮ Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach ⋮ Stochastic distortion and its transformed copula ⋮ Measures of risk ⋮ Testing hypotheses about the equality of several risk measure values with applications in insurance ⋮ Risk measures via \(g\)-expectations ⋮ Time consistency conditions for acceptability measures, with an application to tail value at risk ⋮ Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory ⋮ Reinsurance premium principles based on weighted loss functions

Cites Work

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• Reinsurance in arbitrage-free markets
• Ordering risks: expected utility theory versus Yaari's dual theory of risk
• Insurance pricing and increased limits ratemaking by proportional hazards transforms
• An Actuarial Index of the Right-Tail Risk
• Utility Functions

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