Search Results - subject:"Distortion Function"

Distorted stochastic dominance : a generalized family of stochastic orders

Lando, Tommaso; Bertoli-Barsotti, Lucio - In: Journal of mathematical economics 90 (2020), pp. 132-139

Persistent link: https://www.econbiz.de/10012800803

La prima de riesgo recargada en un seguro de rentas: Tarificación mediante el uso de una medida de riesgo coherente

Hernández Solís, Montserrat; Lozano Colomer, Cristina; … - In: Revista de Métodos Cuantitativos para la Economía y … 15 (2013), pp. 151-167

The goal of this study is to get a premium calculation principle, for the life insurance business, based on a coherent risk measure (Wang, 1995) in the form of power, called \Proportional Hazards (PH) Transforms" to justify the recommendation of Solvency II to reduce the effect of the mortality...

Persistent link: https://www.econbiz.de/10011307186

El cálculo de la prima única de riesgo mediante la medida de riesgo transformada proporcional del tanto instantáneo

Hernández-Solís, Montserrat; Lozano Colomer, Cristina; … - In: Atlantic Review of Economics 1 (2013)

measure, distorted probabilities with the Wang distortion function in the form of power, called 'Proportional Hazards (PH …

Persistent link: https://www.econbiz.de/10011536965

El cálculo de la prima única de riesgo mediante la medida de riesgo transformada proporcional del tanto instantáneo

Hernández-Solís, Montserrat; Lozano Colomer, Cristina; … - In: Atlantic review of economics : AROE 1 (2013)

measure, distorted probabilities with the Wang distortion function in the form of power, called “Proportional Hazards (PH …

Persistent link: https://www.econbiz.de/10010231570

La prima de riesgo recargada en un seguro de rentas : tarificación mediante el uso de una medida de riesgo coherente

Hernández Solís, Montserrat; Lozano Colomer, Cristina; … - In: Revista de métodos cuantitativos para la economía y … 15 (2013), pp. 151-167

Persistent link: https://www.econbiz.de/10009776471

Upper bounds for strictly concave distortion risk measures on moment spaces

Cornilly, D.; Rüschendorf, Ludger; Vanduffel, Steven - In: Insurance / Mathematics & economics 82 (2018), pp. 141-151

Persistent link: https://www.econbiz.de/10011929851

Stochastic distortion and its transformed copula

Lin, Feng; Peng, Liang; Xie, Jiehua; Yang, Jingping - In: Insurance / Mathematics & economics 79 (2018), pp. 148-166

Persistent link: https://www.econbiz.de/10011825432

The Distorted Theory of Rank-Dependent Expected Utility

Huang, Hui; Zhang, Shunming - In: Annals of Economics and Finance 12 (2011) 2, pp. 233-263

random variables. Secondly, we utilize the distortion function which reflects decision-makers' beliefs to propose a distorted …

Persistent link: https://www.econbiz.de/10009278161

A family of premium principles based on mixtures of TVaRs

Sordo, Miguel A.; Castaño-Martínez, Antonia; … - In: Insurance / Mathematics & economics 70 (2016), pp. 397-405

Persistent link: https://www.econbiz.de/10011597338

Pricing in reinsurance bargaining with comonotonic additive utility functions

Boonen, Tim J.; Ken Seng Tan; Zhuang, Sheng Chao - In: Astin bulletin : the journal of the International … 46 (2016) 2, pp. 507-530

Persistent link: https://www.econbiz.de/10011576823