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An axiomatic foundation for the expected shortfall

Wang, Ruodu; Zitikis, Ričardas - In: Management science : journal of the Institute for … 67 (2021) 3, pp. 1413-1429

Persistent link: https://www.econbiz.de/10012505987

Ordering and inequalities for mixtures on risk aggregation

Chen, Yuyu; Liu, Peng; Liu, Yang; Wang, Ruodu - In: Mathematical finance : an international journal of … 32 (2022) 1, pp. 421-451

Persistent link: https://www.econbiz.de/10012815980

Optimal reinsurance with expectile under the Vajda condition

Chen, Yanhong - In: Journal of risk 23 (2020/2021) 1, pp. 113-144

Persistent link: https://www.econbiz.de/10012500128

Decomposition of general premium principles into risk and deviation

Nendel, Max; Schmeck, Maren Diane; Riedel, Frank - 2020

In this paper, we provide an axiomatic approach to general premium priciples giving rise to a decomposition into risk … premium priciple, there exists a maximal risk measure capturing all risky components covered by the insurance prices. In a … second step, we consider dual representations of convex risk measures consistent with the premium priciple. In particular, we …

Persistent link: https://www.econbiz.de/10012243411