“An Actuarial Premium Pricing Model for Nonnormal Insurance and Financial Risks in Incomplete Markets”, Zinoviy Landsman and Michael Sherris, January 2007

DOI10.1080/10920277.2007.10597479zbMath1480.91202OpenAlexW2061313126MaRDI QIDQ5019760

Ričardas Zitikis, Edward Furman

Publication date: 10 January 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2007.10597479

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Related Items (4)

Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent losses ⋮ A monotonicity property of the composition of regularized and inverted-regularized gamma functions with applications ⋮ Discussion on “Size-Biased Risk Measures of Compound Sums,” by Michel Denuit, January 2020 ⋮ Weighted Pricing Functionals With Applications to Insurance

Cites Work

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• Weighted premium calculation principles
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• Testing for the order of risk measures: an application of \(L\)-statistics in actuarial science
• On the generalization of Esscher and variance premiums modified for the elliptical family of distributions
• Testing hypotheses about the equality of several risk measure values with applications in insurance
• TESTING HYPOTHESES ABOUT ABSOLUTE CONCENTRATION CURVES AND MARGINAL CONDITIONAL STOCHASTIC DOMINANCE
• Tail Variance Premium with Applications for Elliptical Portfolio of Risks
• Weighted Distributions and Size-Biased Sampling with Applications to Wildlife Populations and Human Families
• Statistics and Truth
• Marginal Conditional Stochastic Dominance
• Multivariate T-Distributions and Their Applications
• Some Concepts of Dependence

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