Loss reserving using loss aversion functions

DOI10.1016/j.insmatheco.2009.07.005zbMath1231.91164OpenAlexW3125336644MaRDI QIDQ659135

Weihao Choo, Piet de Jong

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.07.005

zbMATH Keywords

loss aversionstandard deviation principlerisk measuredistortion operatorsexpected maximum losspercentile rank aversionpremium loading

Mathematics Subject Classification ID

Related Items (6)

Insights to systematic risk and diversification across a joint probability distribution ⋮ A new variability order based on tail-heaviness ⋮ A FORM OF MULTIVARIATE PARETO DISTRIBUTION WITH APPLICATIONS TO FINANCIAL RISK MEASUREMENT ⋮ The tradeoff insurance premium as a two-sided generalisation of the distortion premium ⋮ A family of variability measures based on the cumulative residual entropy and distortion functions ⋮ A note on weighted premium calculation principles

Cites Work

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• Weighted premium calculation principles
• Risk measurement in the presence of background risk
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• Insurance pricing and increased limits ratemaking by proportional hazards transforms
• A synthesis of risk measures for capital adequacy
• Coherent Measures of Risk

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