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Weighted premium calculation principles

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Cited by:

  1. Li, Xiaohu & Lin, Jianhua, 2011. "Stochastic orders in time transformed exponential models with applications," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 47-52, July.
  2. Denuit, M. & Robert, C.Y., 2020. "Ultimate behavior of conditional mean risk sharing for independent compound Panjer-Katz sums with gamma and Pareto severities," LIDAM Discussion Papers ISBA 2020014, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  3. Choo, Weihao & de Jong, Piet, 2015. "The tradeoff insurance premium as a two-sided generalisation of the distortion premium," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 238-246.
  4. Galeotti, Marcello & Gürtler, Marc & Winkelvos, Christine, 2009. "Accuracy of premium calculation models for CAT bonds: An empirical analysis," Working Papers IF29V4, Technische Universität Braunschweig, Institute of Finance.
  5. Agata Boratyńska, 2021. "Robust Bayesian insurance premium in a collective risk model with distorted priors under the generalised Bregman loss," Statistics in Transition New Series, Polish Statistical Association, vol. 22(3), pages 123-140, September.
  6. Boratyńska Agata, 2021. "Robust Bayesian insurance premium in a collective risk model with distorted priors under the generalised Bregman loss," Statistics in Transition New Series, Polish Statistical Association, vol. 22(3), pages 123-140, September.
  7. Alois Pichler, 2013. "Premiums And Reserves, Adjusted By Distortions," Papers 1304.0490, arXiv.org.
  8. Furman, Edward & Landsman, Zinoviy, 2010. "Multivariate Tweedie distributions and some related capital-at-risk analyses," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 351-361, April.
  9. Corina Birghila & Tim J. Boonen & Mario Ghossoub, 2020. "Optimal Insurance under Maxmin Expected Utility," Papers 2010.07383, arXiv.org.
  10. Furman, Edward & Zitikis, Ricardas, 2008. "Weighted risk capital allocations," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 263-269, October.
  11. Eric C. K. Cheung & Oscar Peralta & Jae-Kyung Woo, 2021. "Multivariate matrix-exponential affine mixtures and their applications in risk theory," Papers 2201.11122, arXiv.org.
  12. Sordo, Miguel A. & Suárez-Llorens, Alfonso, 2011. "Stochastic comparisons of distorted variability measures," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 11-17, July.
  13. 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.
  14. Asimit, Alexandru V. & Furman, Edward & Tang, Qihe & Vernic, Raluca, 2011. "Asymptotics for risk capital allocations based on Conditional Tail Expectation," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 310-324.
  15. Urbina, Jilber & Guillén, Montserrat, 2013. "An application of capital allocation principles to operational risk," Working Papers 2072/222201, Universitat Rovira i Virgili, Department of Economics.
  16. Denuit, Michel, 2019. "Size-biased transform and conditional mean risk sharing, with application to P2P insurance and tontines," LIDAM Discussion Papers ISBA 2019010, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  17. Jianxi Su & Edward Furman, 2016. "A form of multivariate Pareto distribution with applications to financial risk measurement," Papers 1607.04737, arXiv.org.
  18. Nadezhda Gribkova & Ričardas Zitikis, 2019. "Weighted allocations, their concomitant-based estimators, and asymptotics," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 71(4), pages 811-835, August.
  19. Choo, Weihao & de Jong, Piet, 2009. "Loss reserving using loss aversion functions," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 271-277, October.
  20. Brahimi, Brahim & Meraghni, Djamel & Necir, Abdelhakim & Zitikis, Ričardas, 2011. "Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 325-334.
  21. Denuit, Michel & Robert, Christian Y., 2020. "Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent risks," LIDAM Discussion Papers ISBA 2020018, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  22. Jianxi Su & Edward Furman, 2016. "Multiple risk factor dependence structures: Distributional properties," Papers 1607.04739, arXiv.org.
  23. Furman, Edward & Hackmann, Daniel & Kuznetsov, Alexey, 2020. "On log-normal convolutions: An analytical–numerical method with applications to economic capital determination," Insurance: Mathematics and Economics, Elsevier, vol. 90(C), pages 120-134.
  24. Sordo, Miguel A., 2009. "Comparing tail variabilities of risks by means of the excess wealth order," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 466-469, December.
  25. Sendov, Hristo S. & Wang, Ying & Zitikis, Ricardas, 2011. "Log-supermodularity of weight functions, ordering weighted losses, and the loading monotonicity of weighted premiums," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 257-264, March.
  26. Debora Daniela Escobar & Georg Ch. Pflug, 2020. "The distortion principle for insurance pricing: properties, identification and robustness," Annals of Operations Research, Springer, vol. 292(2), pages 771-794, September.
  27. Martín Egozcue & Luis Fuentes García & Ričardas Zitikis, 2023. "The Slicing Method: Determining Insensitivity Regions of Probability Weighting Functions," Computational Economics, Springer;Society for Computational Economics, vol. 61(4), pages 1369-1402, April.
  28. Daniela Escobar & Georg Pflug, 2018. "The distortion principle for insurance pricing: properties, identification and robustness," Papers 1809.06592, arXiv.org.
  29. Alexandru V. Asimit & Raluca Vernic & Riċardas Zitikis, 2013. "Evaluating Risk Measures and Capital Allocations Based on Multi-Losses Driven by a Heavy-Tailed Background Risk: The Multivariate Pareto-II Model," Risks, MDPI, vol. 1(1), pages 1-20, March.
  30. Bolance, Catalina & Guillen, Montserrat & Pelican, Elena & Vernic, Raluca, 2008. "Skewed bivariate models and nonparametric estimation for the CTE risk measure," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 386-393, December.
  31. Willmot, Gordon E. & Woo, Jae-Kyung, 2022. "Remarks on a generalized inverse Gaussian type integral with applications," Applied Mathematics and Computation, Elsevier, vol. 430(C).
  32. Wenjun Jiang & Jiandong Ren & Ričardas Zitikis, 2017. "Optimal Reinsurance Policies under the VaR Risk Measure When the Interests of Both the Cedent and the Reinsurer Are Taken into Account," Risks, MDPI, vol. 5(1), pages 1-22, February.
  33. Mohammed, Nawaf & Furman, Edward & Su, Jianxi, 2021. "Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 425-436.
  34. Denuit, Michel & Robert, Christian Y., 2020. "From risk sharing to risk transfer: the analytics of collaborative insurance," LIDAM Discussion Papers ISBA 2020017, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  35. Devolder, Pierre, 2019. "Une alternative a la pension a points : le compte individuel pension en euros," LIDAM Discussion Papers ISBA 2019011, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  36. Frédéric Godin & Van Son Lai & Denis-Alexandre Trottier, 2019. "A general class of distortion operators for pricing contingent claims with applications to CAT bonds," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2019(7), pages 558-584, August.
  37. Emilio Gomez-Deniz & Enrique Calderin-Ojeda, 2010. "A study of Bayesian local robustness with applications in actuarial statistics," Journal of Applied Statistics, Taylor & Francis Journals, vol. 37(9), pages 1537-1546.
  38. Su, Jianxi & Furman, Edward, 2017. "Multiple risk factor dependence structures: Distributional properties," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 56-68.
  39. Nawaf Mohammed & Edward Furman & Jianxi Su, 2021. "Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of Conditional Tail Expectation," Papers 2102.05003, arXiv.org, revised Aug 2021.
  40. Kaluszka, M. & Laeven, R.J.A. & Okolewski, A., 2012. "A note on weighted premium calculation principles," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 379-381.
  41. Denuit, Michel, 2019. "Size-biased risk measures of compound sums," LIDAM Discussion Papers ISBA 2019009, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  42. Corina Birghila & Tim J. Boonen & Mario Ghossoub, 2023. "Optimal insurance under maxmin expected utility," Finance and Stochastics, Springer, vol. 27(2), pages 467-501, April.
  43. Furman, Edward & Kye, Yisub & Su, Jianxi, 2021. "Multiplicative background risk models: Setting a course for the idiosyncratic risk factors distributed phase-type," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 153-167.
  44. Zaks, Yaniv & Tsanakas, Andreas, 2014. "Optimal capital allocation in a hierarchical corporate structure," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 48-55.
  45. Greselin, Francesca & Zitikis, Ricardas, 2015. "Measuring economic inequality and risk: a unifying approach based on personal gambles, societal preferences and references," MPRA Paper 65892, University Library of Munich, Germany.
  46. Francesca Greselin & Ričardas Zitikis, 2018. "From the Classical Gini Index of Income Inequality to a New Zenga-Type Relative Measure of Risk: A Modeller’s Perspective," Econometrics, MDPI, vol. 6(1), pages 1-20, January.
  47. Kim, Joseph H.T. & Jeon, Yongho, 2013. "Credibility theory based on trimming," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 36-47.
  48. Raluca Vernic, 2011. "Tail Conditional Expectation for the Multivariate Pareto Distribution of the Second Kind: Another Approach," Methodology and Computing in Applied Probability, Springer, vol. 13(1), pages 121-137, March.
  49. Labopin-Richard T. & Gamboa F. & Garivier A. & Iooss B., 2016. "Bregman superquantiles. Estimation methods and applications," Dependence Modeling, De Gruyter, vol. 4(1), pages 1-33, March.
  50. Cheung, Eric C.K. & Peralta, Oscar & Woo, Jae-Kyung, 2022. "Multivariate matrix-exponential affine mixtures and their applications in risk theory," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 364-389.
  51. Furman, Edward & Kuznetsov, Alexey & Zitikis, Ričardas, 2018. "Weighted risk capital allocations in the presence of systematic risk," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 75-81.
  52. 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.
  53. Li, Hao & Melnikov, Alexander, 2014. "Polynomial extensions of distributions and their applications in actuarial and financial modeling," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 250-260.
  54. Asimit, Alexandru V. & Furman, Edward & Vernic, Raluca, 2010. "On a multivariate Pareto distribution," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 308-316, April.
  55. Marcello Galeotti & Marc Gürtler & Christine Winkelvos, 2013. "Accuracy of Premium Calculation Models for CAT Bonds—An Empirical Analysis," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(2), pages 401-421, June.
  56. Holly Brannelly & Andrea Macrina & Gareth W. Peters, 2021. "Stochastic measure distortions induced by quantile processes for risk quantification and valuation," Papers 2201.02045, arXiv.org.
  57. Christopher Bennett & Ričardas Zitikis, 2015. "Ignorance, lotteries, and measures of economic inequality," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 13(2), pages 309-316, June.
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