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Properties of a risk measure derived from the expected area in red

Loisel, Stéphane; Trufin, Julien - In: Insurance: Mathematics and Economics 55 (2014) C, pp. 191-199

This paper studies a new risk measure derived from the expected area in red introduced in Loisel (2005). Specifically, we derive various properties of a risk measure defined as the smallest initial capital needed to ensure that the expected time-integrated negative part of the risk process on a...

Persistent link: https://www.econbiz.de/10010753209

Fitting insurance claims to skewed distributions: Are the skew-normal and skew-student good models?

Eling, Martin - In: Insurance: Mathematics and Economics 51 (2012) 2, pp. 239-248

This paper analyzes whether the skew-normal and skew-student distributions recently discussed in the finance literature are reasonable models for describing claims in property-liability insurance. We consider two well-known datasets from actuarial science and fit a number of parametric...

Persistent link: https://www.econbiz.de/10010594526

Determination of the probability of ultimate ruin by maximum entropy applied to fractional moments

Gzyl, Henryk; Novi-Inverardi, Pier-Luigi; Tagliani, Aldo - In: Insurance: Mathematics and Economics 53 (2013) 2, pp. 457-463

the initial surplus. Both methods use moments obtained from the Pollaczek–Kinchine identity for the Laplace transform of … the probability of ultimate ruin. One method uses fractional moments combined with the maximum entropy method and the … other is a probabilistic approach that uses integer moments directly to approximate the density. …

Persistent link: https://www.econbiz.de/10010702905