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On convex principles of premium calculation

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Cited by:

  1. Promislow, S.David & Young, Virginia R., 2005. "Unifying framework for optimal insurance," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 347-364, June.
  2. Rieger, Marc Oliver, 2017. "Characterization of acceptance sets for co-monotone risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 147-152.
  3. Lu, ZhiYi & Meng, LiLi & Wang, Yujin & Shen, Qingjie, 2016. "Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer’s risk limit," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 92-100.
  4. 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.
  5. Ji, Ronglin & Shi, Xuejun & Wang, Shijie & Zhou, Jinming, 2019. "Dynamic risk measures for processes via backward stochastic differential equations," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 43-50.
  6. Arai, Takuji & Asano, Takao & Nishide, Katsumasa, 2019. "Optimal initial capital induced by the optimized certainty equivalent," Insurance: Mathematics and Economics, Elsevier, vol. 85(C), pages 115-125.
  7. Goswami, Anindya & Rana, Nimit & Siu, Tak Kuen, 2022. "Regime switching optimal growth model with risk sensitive preferences," Journal of Mathematical Economics, Elsevier, vol. 101(C).
  8. Gajek, Leslaw & Zagrodny, Dariusz, 2004. "Optimal reinsurance under general risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 34(2), pages 227-240, April.
  9. Antoon Pelsser & Mitja Stadje, 2014. "Time-Consistent And Market-Consistent Evaluations," Mathematical Finance, Wiley Blackwell, vol. 24(1), pages 25-65, January.
  10. Laeven, R.J.A. & Stadje, M.A., 2011. "Entropy Coherent and Entropy Convex Measures of Risk," Discussion Paper 2011-031, Tilburg University, Center for Economic Research.
  11. Zhou, Chunyang & Wu, Chongfeng, 2008. "Optimal insurance under the insurer's risk constraint," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 992-999, June.
  12. A. Jobert & L. C. G. Rogers, 2008. "Valuations And Dynamic Convex Risk Measures," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 1-22, January.
  13. Hans Gerber & Elias Shiu, 1997. "On optimal investiment strategies," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 20(2), pages 133-151, September.
  14. Delia Coculescu & Freddy Delbaen, 2019. "Surplus Sharing with Coherent Utility Functions," Risks, MDPI, vol. 7(1), pages 1-12, January.
  15. Stadje, M.A. & Pelsser, A., 2014. "Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086)," Other publications TiSEM 0841e78f-a73b-42c1-b7d4-0, Tilburg University, School of Economics and Management.
  16. Fragnelli, Vito & Marina, Maria Erminia, 2003. "A fair procedure in insurance," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 75-85, August.
  17. Zhou, Chunyang & Wu, Chongfeng & Zhang, Shengping & Huang, Xuejun, 2008. "An optimal insurance strategy for an individual under an intertemporal equilibrium," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 255-260, February.
  18. Sun, Wujun & Dong, Dandan, 2015. "On the optimal design of insurance contracts with the restriction of equity risk," Economic Modelling, Elsevier, vol. 51(C), pages 646-652.
  19. Bellini, Fabio & Koch-Medina, Pablo & Munari, Cosimo & Svindland, Gregor, 2021. "Law-invariant functionals that collapse to the mean," Insurance: Mathematics and Economics, Elsevier, vol. 98(C), pages 83-91.
  20. Roger J. A. Laeven & Mitja Stadje, 2013. "Entropy Coherent and Entropy Convex Measures of Risk," Mathematics of Operations Research, INFORMS, vol. 38(2), pages 265-293, May.
  21. Zuo Quan Xu, 2021. "Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory," Papers 2108.06940, arXiv.org, revised Aug 2022.
  22. Guerra, Manuel & de Lourdes Centeno, Maria, 2008. "Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 529-539, April.
  23. Siu, Tak Kuen, 2016. "A functional Itô’s calculus approach to convex risk measures with jump diffusion," European Journal of Operational Research, Elsevier, vol. 250(3), pages 874-883.
  24. Nicole Bauerle & Tomer Shushi, 2019. "Risk Management with Tail Quasi-Linear Means," Papers 1902.06941, arXiv.org, revised Jan 2020.
  25. Pichler, Alois & Shapiro, Alexander, 2015. "Minimal representation of insurance prices," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 184-193.
  26. Wei, Linxiao & Hu, Yijun, 2014. "Coherent and convex risk measures for portfolios with applications," Statistics & Probability Letters, Elsevier, vol. 90(C), pages 114-120.
  27. Laeven, Roger J.A. & Rosazza Gianin, Emanuela & Zullino, Marco, 2024. "Law-invariant return and star-shaped risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 117(C), pages 140-153.
  28. Kaluszka, Marek, 2004. "An extension of Arrow's result on optimality of a stop loss contract," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 527-536, December.
  29. Knispel, Thomas & Laeven, Roger J.A. & Svindland, Gregor, 2016. "Robust optimal risk sharing and risk premia in expanding pools," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 182-195.
  30. Balbás, Alejandro & Balbás, Beatriz & Heras, Antonio, 2011. "Stable solutions for optimal reinsurance problems involving risk measures," European Journal of Operational Research, Elsevier, vol. 214(3), pages 796-804, November.
  31. Balbás, Alejandro & Balbás, Beatriz & Heras, Antonio, 2009. "Optimal reinsurance with general risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 374-384, June.
  32. Damir Filipović & Michael Kupper, 2008. "Optimal Capital And Risk Transfers For Group Diversification," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 55-76, January.
  33. He, Kun & Hu, Mingshang & Chen, Zengjing, 2009. "The relationship between risk measures and choquet expectations in the framework of g-expectations," Statistics & Probability Letters, Elsevier, vol. 79(4), pages 508-512, February.
  34. Stanislaw Heilpern, 2002. "Using Choquet integral in economics," Statistical Papers, Springer, vol. 43(1), pages 53-73, January.
  35. Kaluszka, Marek, 2001. "Optimal reinsurance under mean-variance premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 28(1), pages 61-67, February.
  36. Fabio Bellini & Pablo Koch-Medina & Cosimo Munari & Gregor Svindland, 2020. "Law-invariant functionals that collapse to the mean," Papers 2009.04144, arXiv.org, revised Jan 2021.
  37. Gao, Fuqing & Wang, Shaochen, 2011. "Asymptotic behavior of the empirical conditional value-at-risk," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 345-352.
  38. Bellini, Fabio & Klar, Bernhard & Müller, Alfred & Rosazza Gianin, Emanuela, 2014. "Generalized quantiles as risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 41-48.
  39. Jingyi Cao & Dongchen Li & Virginia R. Young & Bin Zou, 2024. "Optimal Insurance to Maximize Exponential Utility when Premium is Computed by a Convex Functional," Papers 2401.08094, arXiv.org.
  40. Tsanakas, Andreas, 2009. "To split or not to split: Capital allocation with convex risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 268-277, April.
  41. Gajek, Leslaw & Zagrodny, Dariusz, 2000. "Insurer's optimal reinsurance strategies," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 105-112, August.
  42. Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A., 2010. "Decision principles derived from risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 294-302, December.
  43. Rosazza Gianin, Emanuela, 2006. "Risk measures via g-expectations," Insurance: Mathematics and Economics, Elsevier, vol. 39(1), pages 19-34, August.
  44. Kiesel Swen & Rüschendorf Ludger, 2009. "Characterization of optimal risk allocations for convex risk functionals," Statistics & Risk Modeling, De Gruyter, vol. 26(4), pages 303-319, July.
  45. Nendel, Max & Riedel, Frank & Schmeck, Maren Diane, 2021. "A decomposition of general premium principles into risk and deviation," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 193-209.
  46. Tsai, Jeffrey T. & Wang, Jennifer L. & Tzeng, Larry Y., 2010. "On the optimal product mix in life insurance companies using conditional value at risk," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 235-241, February.
  47. Balbás, Beatriz & Heras, Antonio, 2010. "Stability of the optimal reinsurance with respect to the risk measure," DEE - Working Papers. Business Economics. WB wb100201, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  48. Cheung, K.C. & Chong, W.F. & Yam, S.C.P., 2015. "The optimal insurance under disappointment theories," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 77-90.
  49. Burgert, Christian & Rüschendorf, Ludger, 2008. "Allocation of risks and equilibrium in markets with finitely many traders," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 177-188, February.
  50. Elisa Mastrogiacomo & Emanuela Rosazza Gianin, 2019. "Time-consistency of risk measures: how strong is such a property?," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 287-317, June.
  51. Centeno, M.L. & Guerra, M., 2010. "The optimal reinsurance strategy -- the individual claim case," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 450-460, June.
  52. Fabio Bellini & Tolulope Fadina & Ruodu Wang & Yunran Wei, 2020. "Parametric measures of variability induced by risk measures," Papers 2012.05219, arXiv.org, revised Apr 2022.
  53. Giammarino, Flavia & Barrieu, Pauline, 2013. "Indifference pricing with uncertainty averse preferences," Journal of Mathematical Economics, Elsevier, vol. 49(1), pages 22-27.
  54. Young, Virginia R., 1999. "Optimal insurance under Wang's premium principle," Insurance: Mathematics and Economics, Elsevier, vol. 25(2), pages 109-122, November.
  55. Centrone, Francesca & Rosazza Gianin, Emanuela, 2018. "Capital allocation à la Aumann–Shapley for non-differentiable risk measures," European Journal of Operational Research, Elsevier, vol. 267(2), pages 667-675.
  56. Kiesel Swen & Rüschendorf Ludger, 2014. "Optimal risk allocation for convex risk functionals in general risk domains," Statistics & Risk Modeling, De Gruyter, vol. 31(3-4), pages 335-365, December.
  57. Jones, Bruce L. & Zitikis, Ricardas, 2007. "Risk measures, distortion parameters, and their empirical estimation," Insurance: Mathematics and Economics, Elsevier, vol. 41(2), pages 279-297, September.
  58. Grechuk, Bogdan, 2023. "Extended gradient of convex function and capital allocation," European Journal of Operational Research, Elsevier, vol. 305(1), pages 429-437.
  59. Kaluszka, Marek, 2005. "Optimal reinsurance under convex principles of premium calculation," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 375-398, June.
  60. Denuit Michel & Dhaene Jan & Goovaerts Marc & Kaas Rob & Laeven Roger, 2006. "Risk measurement with equivalent utility principles," Statistics & Risk Modeling, De Gruyter, vol. 24(1), pages 1-25, July.
  61. Fabio Bellini & Pablo Koch-Medina & Cosimo Munari & Gregor Svindland, 2018. "Law-invariant functionals on general spaces of random variables," Papers 1808.00821, arXiv.org, revised Jan 2021.
  62. Hans Follmer & Alexander Schied, 2013. "Probabilistic aspects of finance," Papers 1309.7759, arXiv.org.
  63. Filipovic, Damir & Kupper, Michael, 2007. "Monotone and cash-invariant convex functions and hulls," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 1-16, July.
  64. Cheung, Ka Chun & He, Wanting & Wang, He, 2023. "Multi-constrained optimal reinsurance model from the duality perspectives," Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 199-214.
  65. Bauerle, Nicole & Muller, Alfred, 2006. "Stochastic orders and risk measures: Consistency and bounds," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 132-148, February.
  66. Sung, K.C.J. & Yam, S.C.P. & Yung, S.P. & Zhou, J.H., 2011. "Behavioral optimal insurance," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 418-428.
  67. Zhu, Yunzhou & Zhang, Lixin & Zhang, Yi, 2013. "Optimal reinsurance under the Haezendonck risk measure," Statistics & Probability Letters, Elsevier, vol. 83(4), pages 1111-1116.
  68. Daniela Ambrosino & Vito Fragnelli & Maria Marina, 2006. "Resolving an Insurance Allocation Problem: A Procedural Approach," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 26(3), pages 625-643, June.
  69. Li, Peng & Lim, Andrew E.B. & Shanthikumar, J. George, 2010. "Optimal risk transfer for agents with germs," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 1-12, August.
  70. Cameron A. MacKenzie, 2014. "Summarizing Risk Using Risk Measures and Risk Indices," Risk Analysis, John Wiley & Sons, vol. 34(12), pages 2143-2162, December.
  71. Driessen, Theo S.H. & Fragnelli, Vito & Katsev, Ilya V. & Khmelnitskaya, Anna B., 2011. "On 1-convexity and nucleolus of co-insurance games," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 217-225, March.
  72. Bellini, Fabio & Fadina, Tolulope & Wang, Ruodu & Wei, Yunran, 2022. "Parametric measures of variability induced by risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 270-284.
  73. Liu, Fangda & Cai, Jun & Lemieux, Christiane & Wang, Ruodu, 2020. "Convex risk functionals: Representation and applications," Insurance: Mathematics and Economics, Elsevier, vol. 90(C), pages 66-79.
  74. Delia Coculescu & Freddy Delbaen, 2022. "Fairness principles for insurance contracts in the presence of default risk," Mathematical Finance, Wiley Blackwell, vol. 32(2), pages 595-626, April.
  75. Stadje, Mitja, 2010. "Extending dynamic convex risk measures from discrete time to continuous time: A convergence approach," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 391-404, December.
  76. Kiesel, Swen & Rüschendorf, Ludger, 2010. "On optimal allocation of risk vectors," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 167-175, October.
  77. Yan, Jun, 2014. "Estimations and asymptotic behaviors of coherent entropic risk measure for sums of random variables," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 171-180.
  78. Wang, Ruodu & Zitikis, Ričardas, 2020. "Weak comonotonicity," European Journal of Operational Research, Elsevier, vol. 282(1), pages 386-397.
  79. Zhanyi Jiao & Steven Kou & Yang Liu & Ruodu Wang, 2022. "An axiomatic theory for anonymized risk sharing," Papers 2208.07533, arXiv.org, revised May 2023.
  80. Chi, Yichun, 2012. "Optimal reinsurance under variance related premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 310-321.
  81. Acciaio, Beatrice & Svindland, Gregor, 2009. "Optimal risk sharing with different reference probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 426-433, June.
  82. Gao, Feng & Song, Fengming & Zhang, Lihong, 2007. "Coherent risk measure, equilibrium and equilibrium pricing," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 85-94, January.
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