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A synthesis of risk measures for capital adequacy

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  • Lynn Wirch, Julia
  • Hardy, Mary R.
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    File URL: http://www.sciencedirect.com/science/article/B6V8N-3Y3PTSN-7/2/918bf0c67f6b26d86ce8871fd7330b32
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    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 25 (1999)
    Issue (Month): 3 (December)
    Pages: 337-347

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    Handle: RePEc:eee:insuma:v:25:y:1999:i:3:p:337-347

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    Web page: http://www.elsevier.com/locate/inca/505554

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    1. Wang, Shaun S. & Young, Virginia R. & Panjer, Harry H., 1997. "Axiomatic characterization of insurance prices," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 21(2), pages 173-183, November.
    2. Shaun, Wang, 1995. "Insurance pricing and increased limits ratemaking by proportional hazards transforms," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 17(1), pages 43-54, August.
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    Cited by:
    1. Zhu, Li & Li, Haijun, 2012. "Tail distortion risk and its asymptotic analysis," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 51(1), pages 115-121.
    2. Tan, Ken Seng & Weng, Chengguo & Zhang, Yi, 2011. "Optimality of general reinsurance contracts under CTE risk measure," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 49(2), pages 175-187, September.
    3. Kaluszka, Marek, 2005. "Optimal reinsurance under convex principles of premium calculation," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 36(3), pages 375-398, June.
    4. Windcliff, H. & Forsyth, P. A. & Vetzal, K. R., 2001. "Valuation of segregated funds: shout options with maturity extensions," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 29(1), pages 1-21, August.
    5. Marta Cardin & Graziella Pacelli, 2006. "On the characterization of convex premium principles," Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia 142, Department of Applied Mathematics, Università Ca' Foscari Venezia.
    6. Gzyl, Henryk & Mayoral, Silvia, 2008. "Determination of risk pricing measures from market prices of risk," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 43(3), pages 437-443, December.
    7. Gatzert, Nadine, 2008. "Asset management and surplus distribution strategies in life insurance: An examination with respect to risk pricing and risk measurement," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 42(2), pages 839-849, April.
    8. Mazzoleni, Piera, 2004. "Risk measures and return performance: A critical approach," European Journal of Operational Research, Elsevier, Elsevier, vol. 155(2), pages 268-275, June.
    9. El Ghourabi, Mohamed & Francq, Christian & Telmoudi, Fedya, 2013. "Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified," MPRA Paper 51150, University Library of Munich, Germany.
    10. Choo, Weihao & de Jong, Piet, 2009. "Loss reserving using loss aversion functions," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 45(2), pages 271-277, October.
    11. Eling, Martin & Gatzert, Nadine & Schmeiser, Hato, 2009. "Minimum standards for investment performance: A new perspective on non-life insurer solvency," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 45(1), pages 113-122, August.
    12. Komelj, Janez & Perman, Mihael, 2010. "Joint characteristic functions construction via copulas," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 47(2), pages 137-143, October.
    13. Marta Cardin & Graziella Pacelli, 2005. "On characterization of a class of convex operators for pricing insurance risks," Game Theory and Information, EconWPA 0511011, EconWPA.
    14. R. Mark Reesor & Don L. McLeish, 2002. "Risk, Entropy, and the Transformation of Distributions," Working Papers, Bank of Canada 02-11, Bank of Canada.
    15. Dilip mookerhjee, 2005. "New Directions in Development Economics: Theory or Empirics? - Is There Too Little Theory in Development Economics?," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics WP2005-028, Boston University - Department of Economics.
    16. Jacques, Sébastien & Lai, Van Son & Soumaré, Issouf, 2011. "Synthetizing a debt guarantee: Super-replication versus utility approach," International Review of Financial Analysis, Elsevier, Elsevier, vol. 20(1), pages 27-40, January.
    17. Arthur Charpentier & Abder Oulidi, 2009. "Estimating allocations for Value-at-Risk portfolio optimization," Computational Statistics, Springer, Springer, vol. 69(3), pages 395-410, July.
    18. Peng, Liang & Qi, Yongcheng & Wang, Ruodu & Yang, Jingping, 2012. "Jackknife empirical likelihood method for some risk measures and related quantities," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 51(1), pages 142-150.
    19. Barbarin, Jerome & Devolder, Pierre, 2005. "Risk measure and fair valuation of an investment guarantee in life insurance," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 37(2), pages 297-323, October.
    20. Jones, Bruce L. & Zitikis, Ricardas, 2007. "Risk measures, distortion parameters, and their empirical estimation," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 41(2), pages 279-297, September.
    21. Eckhard Platen, 2009. "Real World Pricing of Long Term Contracts," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 262, Quantitative Finance Research Centre, University of Technology, Sydney.
    22. Leitner, Johannes, 2005. "Dilatation monotonous Choquet integrals," Journal of Mathematical Economics, Elsevier, Elsevier, vol. 41(8), pages 994-1006, December.
    23. Jones, Bruce L. & Puri, Madan L. & Zitikis, Ricardas, 2006. "Testing hypotheses about the equality of several risk measure values with applications in insurance," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 38(2), pages 253-270, April.

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