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Quantile based stop-loss transform and its applications

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  • N. Nair
  • P. Sankaran
  • S. Sunoj

Abstract

Partial moments are extensively used in actuarial science for the analysis of risks. Since the first order partial moments provide the expected loss in a stop-loss treaty with infinite cover as a function of priority, it is referred as the stop-loss transform. In the present work, we discuss distributional and geometric properties of the first and second order partial moments defined in terms of quantile function. Relationships of the scaled stop-loss transform curve with the Lorenz, Gini, Bonferroni and Leinkuhler curves are developed. Copyright Springer-Verlag Berlin Heidelberg 2013

Suggested Citation

  • N. Nair & P. Sankaran & S. Sunoj, 2013. "Quantile based stop-loss transform and its applications," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 22(2), pages 167-182, June.
    • Handle: RePEc:spr:stmapp:v:22:y:2013:i:2:p:167-182
    DOI: 10.1007/s10260-012-0213-4
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