En este estudio se obtiene un principio de cálculo de primas, para el ramo de vida, basado en una medida de riesgo coherente, la esperanza distorsionada transformada proporcional del tanto instantáneo (Wang, 1995), que justifique la recomendación de Solvencia II de reducir, para un seguro de...

In actuarial theory, the Lp-metric is used to evaluate how well a probability distribution approximates another one. In the context of the distorted expectation hypothesis, the actuary replaces the original probability distribution by a distorted probability, so it makes sense to interpret the...

The encoder and decoder for lossy data compression of binary memoryless sources are developed on the basis of a specific-type nonmonotonic perceptron. Statistical mechanical analysis indicates that the potential ability of the perceptron-based code saturates the theoretically achievable limit in...

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...

We study the relationship between two widely used risk measures, spectral measures and distortion risk measures. In both cases, the risk measure can be thought of as a re-weighting of some initial distribution. We prove that spectral risk measures are equivalent to distorted risk pricing...