The tradeoff insurance premium as a two-sided generalisation of the distortion premium

DOI10.1016/j.insmatheco.2015.09.014zbMath1348.91135OpenAlexW2179933438MaRDI QIDQ896768

Weihao Choo, Piet de Jong

Publication date: 14 December 2015

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.09.014

zbMATH Keywords

spectral risktwo-sideddistortion premiumloss appetiteloss aversion reserveweighted premium

Mathematics Subject Classification ID

Related Items (1)

Weighted risk capital allocations in the presence of systematic risk

Cites Work

• Loss reserving using loss aversion functions
• Weighted premium calculation principles
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• Coherent Measures of Risk
• A class of non-expected utility risk measures and implications for asset allocations
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