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https://hdl.handle.net/20.500.14279/2096| Title: | A stop-loss risk index | Authors: | Wei, Wang Yatracos, Yannis G. Wei, Wang |
metadata.dc.contributor.other: | Γιατράκος, Γιάννης | Major Field of Science: | Social Sciences | Field Category: | Media and Communications | Keywords: | Risk (Insurance);Mathematics | Issue Date: | 19-Apr-2004 | Source: | Insurance: Mathematics and Economics, 2004, vol. 34, no. 2, pp. 241-250 | Volume: | 34 | Issue: | 2 | Start page: | 241 | End page: | 250 | Journal: | Insurance: Mathematics and Economics | 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: | https://hdl.handle.net/20.500.14279/2096 | ISSN: | 1676687 | DOI: | 10.1016/j.insmatheco.2003.12.003 | Rights: | © Elsevier | Type: | Article | Affiliation : | National University of Singapore |
| Appears in Collections: | Άρθρα/Articles |
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