A family of premium principles based on mixtures of TVaRs
Year of publication: |
September 2016
|
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Authors: | Sordo, Miguel A. ; Castaño-Martínez, Antonia ; Pigueiras, Gema |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 70.2016, p. 397-405
|
Subject: | Tail value-at-risk | Premium principle | Risk measure | Order statistics | Distortion function | Theorie | Theory | Risikomaß | Messung | Measurement | Risiko | Risk | Risikoprämie | Risk premium | Statistische Verteilung | Statistical distribution |
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