A new insurance provider or a regulatory agency may be interested in determining a risk measure consistent with observed market prices of a collection of risks. Using a relationship between distorted coherent risk measures and spectral risk measures, we provide a method for reconstructing...

In Gzyl and Mayoral (2008) we developed a technique to solve the following type of problems: How to determine a risk aversion function equivalent to pricing a risk with a load, or equivalent to pricing different risks by means of the same risk distortion function. The information on which the...

In this work we present two different numerical methods to determine the probability of ultimate ruin as a function of the initial surplus. Both methods use moments obtained from the Pollaczek–Kinchine identity for the Laplace transform of the probability of ultimate ruin. One method uses...