A family of variability measures based on the cumulative residual entropy and distortion functions

Georgios Psarrakos, Abdolsaeed Toomaj and Polyxeni Vliora

Insurance: Mathematics and Economics, 2024, vol. 114, issue C, 212-222

Abstract: Variability measures are important tools in the construction of premium principles and risk aversions. In this paper, we propose a family of such measures based on a distorted weighted cumulative residual entropy, which follows by a sensitivity analysis of distortion risk measures. For this family, we obtain properties, connections with other measures, a covariance representation, and some useful interpretations. Furthermore, we explore an application on premium principles based on beta generated distributions, and we give an empirical estimation. We also provide bounds and numerical illustrations.

Keywords: Variability measures; Distortion functions; Cumulative residual entropy; Mean residual life function; Ageing classes (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:114:y:2024:i:c:p:212-222

DOI: 10.1016/j.insmatheco.2023.12.002

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