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Insurance pricing and increased limits ratemaking by proportional hazards transforms

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Cited by:

  1. Li, Xiaohu & Lin, Jianhua, 2011. "Stochastic orders in time transformed exponential models with applications," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 47-52, July.
  2. Dhaene, Jan & Laeven, Roger J.A. & Zhang, Yiying, 2022. "Systemic risk: Conditional distortion risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 102(C), pages 126-145.
  3. Landsman, Zinoviy & Makov, Udi, 2012. "Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 94-98.
  4. Matthias Fischer & Thorsten Moser & Marius Pfeuffer, 2018. "A Discussion on Recent Risk Measures with Application to Credit Risk: Calculating Risk Contributions and Identifying Risk Concentrations," Risks, MDPI, vol. 6(4), pages 1-28, December.
  5. Moore, Kristen S. & Young, Virginia R., 2003. "Pricing equity-linked pure endowments via the principle of equivalent utility," Insurance: Mathematics and Economics, Elsevier, vol. 33(3), pages 497-516, December.
  6. Furman, Edward & Landsman, Zinoviy, 2010. "Multivariate Tweedie distributions and some related capital-at-risk analyses," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 351-361, April.
  7. Bayraktar, Erhan & Milevsky, Moshe A. & David Promislow, S. & Young, Virginia R., 2009. "Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 676-691, March.
  8. Furman, Edward & Zitikis, Ricardas, 2008. "Weighted risk capital allocations," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 263-269, October.
  9. Dilip B. Madan & Yazid M. Sharaiha, 2015. "Option overlay strategies," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1175-1190, July.
  10. Sordo, Miguel A. & Suárez-Llorens, Alfonso, 2011. "Stochastic comparisons of distorted variability measures," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 11-17, July.
  11. Mierzejewski, Fernando, 2008. "The Allocation of Economic Capital in Opaque Financial Conglomerates," MPRA Paper 9432, University Library of Munich, Germany.
  12. Wang, S., 1994. "Premium Calculation by Transforming the Layer Premium Density," Working Papers 030, Risk and Insurance Archive.
  13. Tsai, Cary Chi-Liang & Jiang, Lingzhi, 2011. "Actuarial applications of the linear hazard transform in life contingencies," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 70-80, July.
  14. Mark Reesor & Don McLeish, 2002. "Risk, Entropy, and the Transformation of Distributions," Staff Working Papers 02-11, Bank of Canada.
  15. Choo, Weihao & de Jong, Piet, 2009. "Loss reserving using loss aversion functions," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 271-277, October.
  16. López-Díaz, Miguel & Sordo, Miguel A. & Suárez-Llorens, Alfonso, 2012. "On the Lp-metric between a probability distribution and its distortion," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 257-264.
  17. Antonella Campana & Paola Ferretti, 2008. "Bounds for Concave Distortion Risk Measures for Sums of Risks," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods in Insurance and Finance, pages 43-51, Springer.
  18. Kaishev, Vladimir K. & Dimitrova, Dimitrina S., 2006. "Excess of loss reinsurance under joint survival optimality," Insurance: Mathematics and Economics, Elsevier, vol. 39(3), pages 376-389, December.
  19. Xiaoqing Liang & Ruodu Wang & Virginia Young, 2021. "Optimal Insurance to Maximize RDEU Under a Distortion-Deviation Premium Principle," Papers 2107.02656, arXiv.org, revised Feb 2022.
  20. Hurlimann, Werner, 2001. "Distribution-free comparison of pricing principles," Insurance: Mathematics and Economics, Elsevier, vol. 28(3), pages 351-360, June.
  21. Kaluszka, Marek & Krzeszowiec, Michał, 2012. "Pricing insurance contracts under Cumulative Prospect Theory," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 159-166.
  22. Wang, Shaun, 1996. "Ordering of risks under PH-transforms," Insurance: Mathematics and Economics, Elsevier, vol. 18(2), pages 109-114, July.
  23. John A. Major & Stephen J. Mildenhall, 2020. "Pricing and Capital Allocation for Multiline Insurance Firms With Finite Assets in an Imperfect Market," Papers 2008.12427, arXiv.org.
  24. Mierzejewski, Fernando, 2007. "The Money Demand with Random Output and Limited Access to Debt," MPRA Paper 6688, University Library of Munich, Germany.
  25. Chi, Yichun & Tan, Ken Seng, 2013. "Optimal reinsurance with general premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 180-189.
  26. 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.
  27. Mierzejewski, Fernando, 2008. "The optimal liquidity principle with restricted borrowing," MPRA Paper 12549, University Library of Munich, Germany.
  28. Antonella Campana & Paola Ferretti, 2005. "Distortion Risk Measures and Discrete Risks," Game Theory and Information 0510013, University Library of Munich, Germany.
  29. Bruce L. Jones & Ricardas Zitikis, 2005. "Testing for the order of risk measures: an application of L-statistics in actuarial science," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(2), pages 193-211.
  30. Furman, Edward & Zitikis, Ricardas, 2008. "Weighted premium calculation principles," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 459-465, February.
  31. Wan-Kai Pang & Shui-Hung Hou & Marvin D. Troutt & Wing-Tong Yu & Ken W. K. Li, 2007. "A Markov Chain Monte Carlo Approach to Estimate the Risks of Extremely Large Insurance Claims," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 6(3), pages 225-236, December.
  32. Mierzejewski, Fernando, 2007. "The Short-Run Monetary Equilibrium with Liquidity Constraints," MPRA Paper 6526, University Library of Munich, Germany.
  33. Mierzejewski, Fernando, 2006. "Liquidity preference as rational behaviour under uncertainty," MPRA Paper 2771, University Library of Munich, Germany.
  34. 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, vol. 51(1), pages 142-150.
  35. Wang, Shaun & Dhaene, Jan, 1998. "Comonotonicity, correlation order and premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 22(3), pages 235-242, July.
  36. 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, vol. 38(2), pages 253-270, April.
  37. Francesca Greselin & Ričardas Zitikis, 2018. "From the Classical Gini Index of Income Inequality to a New Zenga-Type Relative Measure of Risk: A Modeller’s Perspective," Econometrics, MDPI, vol. 6(1), pages 1-20, January.
  38. Mierzejewski, Fernando, 2006. "Economic capital allocation under liquidity constraints," MPRA Paper 2414, University Library of Munich, Germany.
  39. Zhu, Li & Li, Haijun, 2012. "Tail distortion risk and its asymptotic analysis," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 115-121.
  40. Li, Danping & Young, Virginia R., 2019. "Optimal reinsurance to minimize the discounted probability of ruin under ambiguity," Insurance: Mathematics and Economics, Elsevier, vol. 87(C), pages 143-152.
  41. Deme, El Hadji & Girard, Stéphane & Guillou, Armelle, 2013. "Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 550-559.
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