A stop-loss risk index
Journal
Insurance: Mathematics and Economics
Date Issued
April 19, 2004
Author(s)
DOI
10.1016/j.insmatheco.2003.12.003
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.
Subjects