Weighted Pricing Functionals With Applications to Insurance

Citations

Cited by:

1. Denuit, M. & Robert, C.Y., 2020. "Ultimate behavior of conditional mean risk sharing for independent compound Panjer-Katz sums with gamma and Pareto severities," LIDAM Discussion Papers ISBA 2020014, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
2. Kevin Shirley & Eric Marland & Jenna Cantrell & Gregg Marland, 2011. "Managing the cost of emissions for durable, carbon-containing products," Mitigation and Adaptation Strategies for Global Change, Springer, vol. 16(3), pages 325-346, March.
3. Corina Birghila & Tim J. Boonen & Mario Ghossoub, 2020. "Optimal Insurance under Maxmin Expected Utility," Papers 2010.07383, arXiv.org.
4. Takaaki Koike & Marius Hofert, 2019. "Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations," Papers 1909.11794, arXiv.org, revised May 2020.
5. repec:hal:wpaper:hal-00750562 is not listed on IDEAS
6. Denuit, Michel & Robert, Christian Y., 2020. "Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent risks," LIDAM Discussion Papers ISBA 2020018, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
7. Sendov, Hristo S. & Wang, Ying & Zitikis, Ricardas, 2011. "Log-supermodularity of weight functions, ordering weighted losses, and the loading monotonicity of weighted premiums," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 257-264, March.
8. Ruodu Wang & Ricardas Zitikis, 2018. "Weak comonotonicity," Papers 1812.04827, arXiv.org, revised Sep 2019.
9. Wang, Ruodu & Zitikis, Ričardas, 2020. "Weak comonotonicity," European Journal of Operational Research, Elsevier, vol. 282(1), pages 386-397.
10. Martín Egozcue & Luis Fuentes García & Ričardas Zitikis, 2023. "The Slicing Method: Determining Insensitivity Regions of Probability Weighting Functions," Computational Economics, Springer;Society for Computational Economics, vol. 61(4), pages 1369-1402, April.
11. Alexandru V. Asimit & Raluca Vernic & Riċardas Zitikis, 2013. "Evaluating Risk Measures and Capital Allocations Based on Multi-Losses Driven by a Heavy-Tailed Background Risk: The Multivariate Pareto-II Model," Risks, MDPI, vol. 1(1), pages 1-20, March.
12. Furman, Edward & Wang, Ruodu & Zitikis, Ričardas, 2017. "Gini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks," Journal of Banking & Finance, Elsevier, vol. 83(C), pages 70-84.
13. Wenjun Jiang & Jiandong Ren & Ričardas Zitikis, 2017. "Optimal Reinsurance Policies under the VaR Risk Measure When the Interests of Both the Cedent and the Reinsurer Are Taken into Account," Risks, MDPI, vol. 5(1), pages 1-22, February.
14. Julio Mulero & Miguel A. Sordo & Marilia C. de Souza & Alfonso Suárez‐LLorens, 2017. "Two stochastic dominance criteria based on tail comparisons," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 33(6), pages 575-589, November.
15. Furman, Edward & Kye, Yisub & Su, Jianxi, 2019. "Computing the Gini index: A note," Economics Letters, Elsevier, vol. 185(C).
16. M. Mercè Claramunt & Maite Mármol & Xavier Varea, 2023. "Facing a Risk: To Insure or Not to Insure—An Analysis with the Constant Relative Risk Aversion Utility Function," Mathematics, MDPI, vol. 11(5), pages 1-13, February.
17. Denuit, Michel & Robert, Christian Y., 2020. "From risk sharing to risk transfer: the analytics of collaborative insurance," LIDAM Discussion Papers ISBA 2020017, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
18. Ren Jiandong & Zitikis Ricardas, 2017. "CMPH: a multivariate phase-type aggregate loss distribution," Dependence Modeling, De Gruyter, vol. 5(1), pages 304-315, December.
19. Denuit, Michel, 2019. "Size-biased risk measures of compound sums," LIDAM Discussion Papers ISBA 2019009, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
20. Corina Birghila & Tim J. Boonen & Mario Ghossoub, 2023. "Optimal insurance under maxmin expected utility," Finance and Stochastics, Springer, vol. 27(2), pages 467-501, April.
21. Furman, Edward & Kye, Yisub & Su, Jianxi, 2021. "Multiplicative background risk models: Setting a course for the idiosyncratic risk factors distributed phase-type," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 153-167.
22. Greselin, Francesca & Zitikis, Ricardas, 2015. "Measuring economic inequality and risk: a unifying approach based on personal gambles, societal preferences and references," MPRA Paper 65892, University Library of Munich, Germany.
23. Marri, Fouad & Furman, Edward, 2012. "Pricing compound Poisson processes with the Farlie–Gumbel–Morgenstern dependence structure," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 151-157.
24. Takaaki Koike & Marius Hofert, 2020. "Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations," Risks, MDPI, vol. 8(1), pages 1-33, January.
25. 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.
26. Claude Lefèvre & Stéphane Loisel, 2013. "On multiply monotone distributions, continuous or discrete, with applications," Post-Print hal-00750562, HAL.
27. Alexandru V. Asimit & Raluca Vernic & Ricardas Zitikis, 2016. "Background Risk Models and Stepwise Portfolio Construction," Methodology and Computing in Applied Probability, Springer, vol. 18(3), pages 805-827, September.
28. Frédéric Godin & Van Son Lai & Denis-Alexandre Trottier, 2019. "A General Class of Distortion Operators for Pricing Contingent Claims with Applications to CAT Bonds," Working Papers 2019-004, Department of Research, Ipag Business School.
29. Furman, Edward & Kuznetsov, Alexey & Zitikis, Ričardas, 2018. "Weighted risk capital allocations in the presence of systematic risk," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 75-81.
30. Erik B{o}lviken & Yinzhi Wang, 2019. "Optimal reinsurance for risk over surplus ratios," Papers 1912.04086, arXiv.org.
31. Michel Denuit & Christian Y. Robert, 2022. "Conditional Tail Expectation Decomposition and Conditional Mean Risk Sharing for Dependent and Conditionally Independent Losses," Methodology and Computing in Applied Probability, Springer, vol. 24(3), pages 1953-1985, September.