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Assessing public pensions using ruin probability : pay-as-you-go versus mixed schemes

Alonso-García, Jennifer; Boado-Penas, María del Carmen; … - 2024

Persistent link: https://www.econbiz.de/10014631072

Asymptotic Tail Probabilities for Large Claims Reinsurance of a Portfolio of Dependent Risks

Asimit, Alexandru Vali - 2013

Persistent link: https://www.econbiz.de/10013076306

Worst-case Risk Measures of Stop-Loss and Limited Loss Random Variables Under Distribution Uncertainty With Applications to Robust Reinsurance

Cai, Jun; Liu, Fangda; Yin, Mingren - 2023

modelling problems in insurance, finance, and other fields. Risk levels of a loss variable and its transforms are often measured … by risk measures. When only partial information on a loss variable is available, risk measures of the loss variable and …-case values of risk measures of a loss variable over an uncertainty set, describing all the possible distributions of the loss …

Persistent link: https://www.econbiz.de/10014355245

Compound unimodal distributions for insurance losses

Punzo, Antonio; Bagnato, Luca; Maruotti, Antonello - In: Insurance / Mathematics & economics 81 (2018), pp. 95-107

Persistent link: https://www.econbiz.de/10011904625

Approving the ISDWIR method of risk measurement in making risk management decision

Strelnik, Mikhail - In: Revista de métodos cuantitativos para la economía y … 17 (2014), pp. 42-59

This paper is devoted to risk management and risk measurement methods. The author considers methods of risk measurement … and proposes the Inte- gral Sum of Differential Weighted Indexes of Risks (or ISDWIR) method of risk measurement. The … is also compared with other risk measurement methods. …

Persistent link: https://www.econbiz.de/10010385650

Actuarial geometry

Mildenhall, Stephen J. - In: Risks : open access journal 5 (2017) 2, pp. 1-44

that Lévy process-based models provide a better fit to the US statutory accounting data, and identifies how parameter risk … insurance parameter risk. …

Persistent link: https://www.econbiz.de/10011687307

Determination of the optimal retention level based on different measures

Karageyik, Başak Bulut; Şahin, Şule - In: Journal of risk and financial management : JRFM 10 (2017) 1, pp. 1-21

profit, variance and expected shortfall of the insurer’s risk. The aggregate claim amounts are assumed to be distributed as … the expected shortfall of the insurer’s risk. In the decision making process, we concentrate on multi-attribute decision …

Persistent link: https://www.econbiz.de/10011619115

Optimal stop-loss reinsurance under the VaR and CTE risk measures : variable transformation method

Du, Junhong; Li, Zhiming; Wu, Lijun - In: Computational economics 53 (2019) 3, pp. 1133-1151

Persistent link: https://www.econbiz.de/10012135119

The natural Banach space for version independent risk measures

Pichler, Alois - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 405-415

Persistent link: https://www.econbiz.de/10010195914

Representation of dynamic time-consistent convex risk measures with jumps

Tang, Shanjian; Wei, Wenning - In: Risk and decision analysis 3 (2012) 3, pp. 167-190

Persistent link: https://www.econbiz.de/10009655735