Premium Calculation for Fat-tailed Risk

DOI10.2143/AST.35.1.583171zbMath1099.62121OpenAlexW4244194047MaRDI QIDQ5490584

Roger Gay

Publication date: 4 October 2006

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

Full work available at URL: https://doi.org/10.2143/ast.35.1.583171

zbMATH Keywords

exponential principleexpected value of extremespower principle, constant risk aversiontail-index uncertainty

Mathematics Subject Classification ID

Related Items (2)

Explicit expressions for moments of Pareto order statistics ⋮ Multivariate Pareto portfolios: TCE-based capital allocation and divided differences

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