Premiums and reserves, adjusted by distortions

DOI10.1080/03461238.2013.830228zbMath1398.91352arXiv1304.0490OpenAlexW2255503339MaRDI QIDQ4576801

Alois Pichler

Publication date: 10 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1304.0490

zbMATH Keywords

stochastic dominancedual representationpremium principlesFenchel-Young inequality

Mathematics Subject Classification ID

Related Items (12)

Nonlinear stochastic programming-with a case study in continuous switching ⋮ Similar risks have similar prices: a useful and exact quantification ⋮ A quantitative comparison of risk measures ⋮ Wasserstein Sensitivity of Risk and Uncertainty Propagation ⋮ Insurance pricing under ambiguity ⋮ Technical Note—Closed-Form Solutions for Worst-Case Law Invariant Risk Measures with Application to Robust Portfolio Optimization ⋮ Minimizing spectral risk measures applied to Markov decision processes ⋮ Q-Learning for Distributionally Robust Markov Decision Processes ⋮ Set-valued Haezendonck-Goovaerts risk measure and its properties ⋮ Time-Consistent Decisions and Temporal Decomposition of Coherent Risk Functionals ⋮ Minimal representation of insurance prices ⋮ Distributionally Robust Markov Decision Processes and Their Connection to Risk Measures

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