Risk management under a prudential policy
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Publication:894207
DOI10.1007/s10203-015-0165-xzbMath1398.91677OpenAlexW3125676291MaRDI QIDQ894207
Publication date: 27 November 2015
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10203-015-0165-x
Black-Scholes modelmoral hazarddeposit insuranceCVaRVaRtail eventrisk measure and premiumstop-loss policy
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Cites Work
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- Properties of distortion risk measures
- Axiomatic characterization of insurance prices
- Efficient hedging with coherent risk measure
- A new characterization of distortion premiums via countable additivity for comonotonic risks
- Robustness and sensitivity analysis of risk measurement procedures
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