An Actuarial Index of the Right-Tail Risk

Shaun Wang

North American Actuarial Journal, 1998, vol. 2, issue 2, 88-101

Abstract: A common characteristic for many insurance risks is the right-tail risk, representing low-frequency, large-loss events. In this paper I propose a measure of the right-tail risk by defining the right-tail deviation and the right-tail index. I explain how the right-tail deviation measures the right-tail risk and compare it to traditional measures such as standard deviation, the Gini mean, and the expected policyholder deficit. The right-tail index is applied to some common parametric families of loss distributions.

Date: 1998
References: Add references at CitEc
Citations: View citations in EconPapers (33)

Downloads: (external link)
http://hdl.handle.net/10.1080/10920277.1998.10595708 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:uaajxx:v:2:y:1998:i:2:p:88-101

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/uaaj20

DOI: 10.1080/10920277.1998.10595708

Access Statistics for this article

North American Actuarial Journal is currently edited by Kathryn Baker

More articles in North American Actuarial Journal from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().