On Stop-Loss Order and the Distortion Pricing Principle

DOI10.2143/AST.28.1.519082zbMath1168.91414MaRDI QIDQ3395502

Werner Hürlimann

Publication date: 2 September 2009

Published in: ASTIN Bulletin (Search for Journal in Brave)

Mathematics Subject Classification ID

Related Items (21)

Indifference pricing of reinsurance with reinstatements using coherent monetary criteria ⋮ Optimal VaR-based risk management with reinsurance ⋮ A general family of univariate stochastic orders ⋮ Distortion Risk Measures Under Skew Normal Settings ⋮ Stochastic comparisons of multivariate mixtures ⋮ Risk Measures and Asset Pricing Models with New Versions of Wang Transform ⋮ Some properties of stop-loss moments under biased sampling ⋮ Distribution-free comparison of pricing principles. ⋮ A rank-dependent generalization of zero utility principle. ⋮ Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders ⋮ Characterizing a comonotonic random vector by the distribution of the sum of its components ⋮ On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation ⋮ Convex ordering for insurance preferences ⋮ Distortion Risk Measures and Economic Capital ⋮ Stop-Loss Transformierte eines höheren Grades und stochastische Ordnungen - (I) Theorie;Higher degree stop-loss transforms and stochastic orders — (I) Theory ⋮ On univariate extreme value statistics and the estimation of reinsurance premiums ⋮ Quasi Risk-Neutral Pricing in Insurance ⋮ ON SOME PROPERTIES OF TWO VECTOR-VALUED VAR AND CTE MULTIVARIATE RISK MEASURES FOR ARCHIMEDEAN COPULAS ⋮ Insurance Premium Calculations with Anticipated Utility Theory ⋮ Analytical Evaluation of Economic Risk Capital for Portfolios of Gamma Risks ⋮ Pricing General Insurance Using Optimal Control Theory

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