Conditional Tail Expectation and Premium Calculation

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DOI10.2143/AST.42.1.2160745zbMath1277.91085OpenAlexW2258654939MaRDI QIDQ2866015

Antonio Heras, José L. Vilar, Beatriz Balbás

Publication date: 12 December 2013

Full work available at URL: https://EconPapers.repec.org/RePEc:cup:astinb:v:42:y:2012:i:01:p:325-342_00

zbMATH Keywords

loss function risk measures value at risk premium principles conditional tail expectation

Mathematics Subject Classification ID

Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).

Related Items (3)

Premiums and reserves, adjusted by distortions ⋮ RISK MEASURES DERIVED FROM A REGULATOR’S PERSPECTIVE ON THE REGULATORY CAPITAL REQUIREMENTS FOR INSURERS ⋮ Reinsurance premium principles based on weighted loss functions

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