On the characterization of convex premium principles

In actuarial literature the properties of risk measures or insurance premium principles have been extensively studied . We propose a characterization of a particular class of coherent risk measures defined in [1]. The considered premium principles are obtained by expansion of TVar measures, consequently they look like very interesting in insurance pricing where TVar measures is frequently used to value tail risks.

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Year of publication:	2006-11
Authors:	Cardin, Marta ; Pacelli, Graziella
Institutions:	Dipartimento di Matematica Applicata, Università Ca' Foscari Venezia
Subject:	risk measures \| premium principles \| capacity \| distortion function \| TVar

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Extent:	application/pdf
Series:	Working Papers. - ISSN 1828-6887.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 142 11 pages
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005076146