On characterization of a class of convex operators for pricing insurance risks
Marta Cardin and
Graziella Pacelli ()
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Marta Cardin: Department of Applied Mathematics-University Ca'Foscari-Venice
Game Theory and Information from University Library of Munich, Germany
The properties of risk measures or insurance premium principles have been extensively studied in actuarial literature. We propose an axiomatic description of a particular class of coherent risk measures defined in Artzner, Delbaen, Eber, and Heath (1999). The considered risk measures 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; Choquet measures distortion function; TVar . (search for similar items in EconPapers)
JEL-codes: C7 D8 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ias and nep-rmg
Note: Type of Document - pdf; pages: 9
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpga:0511011
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