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|Title:||A stop-loss risk index||Authors:||Wei, Wang
Yatracos, Yannis G.
|Issue Date:||2004||Publisher:||Elsevier||Source:||Insurance: Mathematics and Economics, 2004, Volume 34, Issue 2, Pages 241-250||Abstract:||An index related with the Dutch premium calculation principle [Insur.: Math. Econ. 11 (1992) 129] and the tail conditional expectation [Math. Finance 9 (1999) 203] is proposed to measure the right-tail insurance risk. The index agrees with pure-tail ordering, is superadditive for comonotonic losses and is compared in examples with Wang's [North American Actuarial Journal 2 (1998) 88] index.||URI:||http://ktisis.cut.ac.cy/handle/10488/6668||ISSN:||01676687||DOI:||10.1016/j.insmatheco.2003.12.003||Rights:||© 2004 Elsevier B.V. All rights reserved.|
|Appears in Collections:||Άρθρα/Articles|
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