Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime
Brahim Brahimi, Jihane Abdelli
| 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 | Risikoprämie | Risk premium | Risikoaversion | Risk aversion | Schätztheorie | Estimation theory | Ausreißer | Outliers | Messung | Measurement |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2016.06.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011597203