On the characterization of convex premium principles

Marta Cardin and Graziella Pacelli ()

No 142, Working Papers from Department of Applied Mathematics, Università Ca' Foscari Venezia

Abstract: In actuarial literature the properties of risk measures or insurance premium principles have been extensively studied . We propose a characterization of a particular class of coherent risk measures defined in [1]. The considered premium principles are obtained by expansion of TVar measures, consequently they look like very interesting in insurance pricing where TVar measures is frequently used to value tail risks.

Keywords: risk measures; premium principles; capacity; distortion function; TVar (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2006-11
New Economics Papers: this item is included in nep-ias
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Chapter: Characterization of Convex Premium Principles (2008)
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