Reply to Edward Furman, Yisub Kye, and Jianxi Su on Their Discussion on the Paper Titled “Size-Biased Risk Measures of Compound Sums”

DOI10.1080/10920277.2020.1848300zbMath1483.91186OpenAlexW3114188866MaRDI QIDQ5027912

Michel M. Denuit

Publication date: 7 February 2022

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

Full work available at URL: https://doi.org/10.1080/10920277.2020.1848300

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Actuarial mathematics (91G05)

Related Items

Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent losses

Cites Work

• Size bias for one and all
• Convex order and comonotonic conditional mean risk sharing
• SIZE-BIASED TRANSFORM AND CONDITIONAL MEAN RISK SHARING, WITH APPLICATION TO P2P INSURANCE AND TONTINES