Similar Search Results

The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance

Goovaerts, Marc - 2005

In an insurance context, the discounted sum of losses within a finite or infinite time period can be described as a randomly weighted sum of a sequence of independent random variables. These independent random variables represent the amounts of losses in successive development years, while the...

Persistent link: https://www.econbiz.de/10012784052

Risk apportionment and multiply monotone targets

Denuit, Michel - In: Mathematical social sciences 92 (2018), pp. 74-77

Persistent link: https://www.econbiz.de/10012109086

Size-biased risk measures of compound sums

Denuit, Michel - In: North American actuarial journal : NAAJ ; leading the … 24 (2020) 4, pp. 512-532

Persistent link: https://www.econbiz.de/10012387651

Reply to Edward Furman, Yisub Kye, and Jianxi Su on their discussion on the paper titled "size-biased risk measures of compound sums"

Denuit, Michel - In: North American actuarial journal : NAAJ ; leading the … 25 (2021) 4, pp. 637-638

Persistent link: https://www.econbiz.de/10013167031

Reply to Jiandong Ren on their discussion on the paper titled "size-biased risk measures of compound sums"

Denuit, Michel - In: North American actuarial journal : NAAJ ; leading the … 25 (2021) 4, pp. 643-643

Persistent link: https://www.econbiz.de/10013167033

Risk measurement with equivalent utility principles

Denuit, M.; Dhaene, J.L.M.; Goovaerts, M.J.; Kaas, R.; … - 2006

Risk measures have been studied for several decades in the actuarial literature, where they appeared under the guise of premium calculation principles. Risk measures and properties that risk measures should satisfy have recently received considerable attention in the financial mathematics...

Persistent link: https://www.econbiz.de/10009459911