Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime
Year of publication: |
September 2016
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Authors: | Brahimi, Brahim ; Abdelli, Jihane |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 70.2016, p. 135-143
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Subject: | Proportional-hazard premium | Distortion risk measure | Distortion parameter | Extreme value | Heavy tail | Risk aversion index | Lévy-stable distribution | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Risikomodell | Risk model | Risiko | Risk | Risikoprämie | Risk premium | Schätztheorie | Estimation theory | Risikoaversion | Risk aversion | Messung | Measurement |
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