Insurance premium-based shortfall risk measure induced by cumulative prospect theory

DOI10.1007/s10287-022-00432-0OpenAlexW4308113911MaRDI QIDQ2109017

Huifu Xu, Sainan Zhang

Publication date: 20 December 2022

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-022-00432-0

zbMATH Keywords

cumulative prospect theorydistortion risk measurestatistical robustnessgeneralized shortfall risk measureinsurance premium-based shortfall risk measure

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

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