On characterization of a class of convex operators for pricing insurance risks

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.

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Year of publication:	2005-11-29
Authors:	Cardin, Marta ; Pacelli, Graziella
Institutions:	EconWPA
Subject:	Risk measures \| premium principles \| Choquet measures distortion function \| TVar

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Extent:	application/pdf
Series:	Game Theory and Information.
Type of publication:	Book / Working Paper
Notes:	Type of Document - pdf; pages: 9 9 pages
Classification:	C7 - Game Theory and Bargaining Theory ; D8 - Information and Uncertainty
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005550970