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On the characterization of convex premium principles

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Author Info
Marta Cardin () (Department of Applied Mathematics, University of Venice)
Graziella Pacelli () (Department of Social Sciences, University of Ancona)

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Abstract

In actuarial literature the properties of risk measures or insurance premium principles have been extensively studied . We propose a characterization of a particular class of coherent risk measures defined in [1]. The considered premium principles are obtained by expansion of TVar measures, consequently they look like very interesting in insurance pricing where TVar measures is frequently used to value tail risks.

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Publisher Info
Paper provided by Department of Applied Mathematics, University of Venice in its series Working Papers with number 142.

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Length: 11 pages
Date of creation: Nov 2006
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Handle: RePEc:vnm:wpaper:142

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Related research
Keywords: risk measures; premium principles; capacity; distortion function; TVar;

Find related papers by JEL classification:
D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Wang, Shaun & Dhaene, Jan, 1998. "Comonotonicity, correlation order and premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 22(3), pages 235-242, July. [Downloadable!] (restricted)
  2. Lynn Wirch, Julia & Hardy, Mary R., 1999. "A synthesis of risk measures for capital adequacy," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 337-347, December. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Marta Cardin & Elisa Pagani, 2008. "Some proposals about multivariate risk measurement," Working Papers 165, Department of Applied Mathematics, University of Venice. [Downloadable!]
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