We study the relationship between two widely used risk measures, the spectral measures and the distortion risk measures. In both cases, the risk measure can be thought of as a re-weighting of some initial distribution. We prove that spectral risk measures are equivalent to distorted risk pricing...

The goal of this study is to get a premium calculation principle, for the life insurance business, based on a coherent risk measure (Wang, 1995) in the form of power, called \Proportional Hazards (PH) Transforms" to justify the recommendation of Solvency II to reduce the effect of the mortality...

The goal of this research is to obtain a premium calculation principle, for the life business, based on a coherent risk measure, distorted probabilities with the Wang distortion function in the form of power, called 'Proportional Hazards (PH) Transforms'. It justifies the recommendation of...

The goal of this research is to obtain a premium calculation principle, for the life business, based on a coherent risk measure, distorted probabilities with the Wang distortion function in the form of power, called “Proportional Hazards (PH) Transforms”. It justifies the recommendation of...

The goal of this study is to get a premium calculation principle, for the life insurance business, based on a coherent risk measure (Wang, 1995) in the form of power, called \Proportional Hazards (PH) Transforms" to justify the recommendation of Solvency II to reduce the effect of the mortality...

En este estudio se obtiene un principio de cálculo de primas, para el ramo de vida, basado en una medida de riesgo coherente, la esperanza distorsionada transformada proporcional del tanto instantáneo (Wang, 1995), que justifique la recomendación de Solvencia II de reducir, para un seguro de...

In this paper, we present a new method to construct new classes of distortion functions. A distortion function maps the unit interval to the unit interval and has the characteristics of a cumulative distribution function. The method is based on the transformation of an existing non-negative...

Each stationary process can be biunivoquely associated with a random measure, through the Fourier transform. Consequently, every particularity of a process in the temporal domain has its corresponding one in the frequency domain. We propose to study the characteristics of the random measure when...

Economists and demographers have long argued that fertility differs by income (differential fertility), and that social security creates incentives for people to rear fewer children. Does the effect of social security on fertility differ by income? How does social security change the...