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Optimal pricing for a heterogeneous portfolio for a given risk factor and convex distance measure

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  • Frostig, Esther
  • Zaks, Yaniv
  • Levikson, Benny

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  • Frostig, Esther & Zaks, Yaniv & Levikson, Benny, 2007. "Optimal pricing for a heterogeneous portfolio for a given risk factor and convex distance measure," Insurance: Mathematics and Economics, Elsevier, vol. 40(3), pages 459-467, May.
    • Handle: RePEc:eee:insuma:v:40:y:2007:i:3:p:459-467
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    References listed on IDEAS

    as
    1. Kliger, Doron & Levikson, Benny, 1998. "Pricing insurance contracts -- an economic viewpoint," Insurance: Mathematics and Economics, Elsevier, vol. 22(3), pages 243-249, July.
    2. Dahan, Merav & Frostig, Esther & Langberg, Naftali A., 2003. "Analysis of heterogeneous endowment policies portfolios under fractional approximations," Insurance: Mathematics and Economics, Elsevier, vol. 33(3), pages 567-584, December.
    3. Dahan, Merav & Frostig, Esther & Langberg, Naftali A., 2004. "Insurance contracts portfolios with heterogenous insured ages," Insurance: Mathematics and Economics, Elsevier, vol. 35(1), pages 137-153, August.
    4. Zaks, Yaniv & Frostig, Esther & Levikson, Benny, 2006. "Optimal Pricing of a Heterogeneous Portfolio for a Given Risk Level," ASTIN Bulletin, Cambridge University Press, vol. 36(1), pages 161-185, May.
    5. Frostig, Esther & Denuit, Michel, 2006. "Monotonicity results for portfolios with heterogeneous claims arrival processes," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 484-494, June.
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    Cited by:

    1. Cai, Jun & Wang, Ying, 2021. "Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 329-349.
    2. Xu, Maochao & Hu, Taizhong, 2012. "Stochastic comparisons of capital allocations with applications," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 293-298.
    3. You, Yinping & Li, Xiaohu, 2015. "Functional characterizations of bivariate weak SAI with an application," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 225-231.
    4. Wang, Qiyu & Huang, Wenli & Wu, Xin & Zhang, Chao, 2019. "How effective is the tail mean-variance model in the fund of fund selection? An empirical study using various risk measures," Finance Research Letters, Elsevier, vol. 29(C), pages 239-244.
    5. Zhang, Yiying & Cheung, Ka Chun, 2020. "On the increasing convex order of generalized aggregation of dependent random variables," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 61-69.
    6. Xu, Maochao & Mao, Tiantian, 2013. "Optimal capital allocation based on the Tail Mean–Variance model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 533-543.

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