A family of premium principles based on mixtures of TVaRs
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DOI: 10.1016/j.insmatheco.2016.07.006
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Cited by:
- Wei Wang & Huifu Xu, 2023. "Preference robust distortion risk measure and its application," Mathematical Finance, Wiley Blackwell, vol. 33(2), pages 389-434, April.
- Castaño-Martínez, A. & Pigueiras, G. & Sordo, M.A., 2019. "On a family of risk measures based on largest claims," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 92-97.
- Psarrakos, Georgios & Toomaj, Abdolsaeed & Vliora, Polyxeni, 2024. "A family of variability measures based on the cumulative residual entropy and distortion functions," Insurance: Mathematics and Economics, Elsevier, vol. 114(C), pages 212-222.
- Georgios Psarrakos & Antonio Di Crescenzo, 2018. "A residual inaccuracy measure based on the relevation transform," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 81(1), pages 37-59, January.
- repec:bpj:demode:v:6:y:2018:i:1:p:156-177:n:10 is not listed on IDEAS
- Patricia Ortega-Jiménez & Miguel A. Sordo & Alfonso Suárez-Llorens, 2021. "Stochastic Comparisons of Some Distances between Random Variables," Mathematics, MDPI, vol. 9(9), pages 1-14, April.
- Psarrakos, Georgios & Vliora, Polyxeni, 2021. "Sensitivity analysis and tail variability for the Wang’s actuarial index," Insurance: Mathematics and Economics, Elsevier, vol. 98(C), pages 147-152.
- Psarrakos, Georgios & Sordo, Miguel A., 2019. "On a family of risk measures based on proportional hazards models and tail probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 232-240.
- Wei Wang & Huifu Xu, 2023. "Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making," Computational Management Science, Springer, vol. 20(1), pages 1-51, December.
- Sánchez-Sánchez, M. & Sordo, M.A. & Suárez-Llorens, A. & Gómez-Déniz, E., 2019. "Deriving Robust Bayesian Premiums Under Bands Of Prior Distributions With Applications," ASTIN Bulletin, Cambridge University Press, vol. 49(1), pages 147-168, January.
- Jorge Navarro & Camilla Calì & Maria Longobardi & Fabrizio Durante, 2022. "Distortion representations of multivariate distributions," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 31(4), pages 925-954, October.
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More about this item
Keywords
Tail value-at-risk; Premium principle; Risk measure; Order statistics; Distortion function;All these keywords.
JEL classification:
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
Statistics
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