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Ordering of risks under PH-transforms

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  • Wang, Shaun

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  • Wang, Shaun, 1996. "Ordering of risks under PH-transforms," Insurance: Mathematics and Economics, Elsevier, vol. 18(2), pages 109-114, July.
    • Handle: RePEc:eee:insuma:v:18:y:1996:i:2:p:109-114
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    References listed on IDEAS

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    1. Borch, Karl, 1975. "Optimal Insurance Arrangements," ASTIN Bulletin, Cambridge University Press, vol. 8(3), pages 284-290, September.
    2. Kaas, R. & van Heerwaarden, A. E., 1992. "Stop-loss order, unequal means, and more dangerous distributions," Insurance: Mathematics and Economics, Elsevier, vol. 11(1), pages 71-77, April.
    3. Venter, Gary G., 1991. "Premium Calculation Implications of Reinsurance Without Arbitrage," ASTIN Bulletin, Cambridge University Press, vol. 21(2), pages 223-230, November.
    4. Delbaen, F. & Haezendonck, J., 1989. "A martingale approach to premium calculation principles in an arbitrage free market," Insurance: Mathematics and Economics, Elsevier, vol. 8(4), pages 269-277, December.
    5. Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166.
    6. van Heerwaarden, A. E. & Kaas, R., 1992. "The Dutch premium principle," Insurance: Mathematics and Economics, Elsevier, vol. 11(2), pages 129-133, August.
    7. Borch, Karl, 1961. "The Utility Concept Applied to the Theory of Insurance," ASTIN Bulletin, Cambridge University Press, vol. 1(5), pages 245-255, July.
    8. Reich, Axel, 1986. "Properties of premium calculation principles," Insurance: Mathematics and Economics, Elsevier, vol. 5(1), pages 97-101, January.
    9. Shaun, Wang, 1995. "Insurance pricing and increased limits ratemaking by proportional hazards transforms," Insurance: Mathematics and Economics, Elsevier, vol. 17(1), pages 43-54, August.
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    1. Wang, Shaun S. & Young, Virginia R., 1998. "Ordering risks: Expected utility theory versus Yaari's dual theory of risk," Insurance: Mathematics and Economics, Elsevier, vol. 22(2), pages 145-161, June.
    2. 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.
    3. Brahim Brahimi, 2012. "Involving copula functions in Conditional Tail Expectation," Papers 1205.4345, arXiv.org, revised Apr 2014.
    4. Wu, Xianyi & Zhou, Xian, 2006. "A new characterization of distortion premiums via countable additivity for comonotonic risks," Insurance: Mathematics and Economics, Elsevier, vol. 38(2), pages 324-334, April.
    5. Tsai, Cary Chi-Liang & Chung, San-Lin, 2013. "Actuarial applications of the linear hazard transform in mortality immunization," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 48-63.
    6. Zhu, Li & Li, Haijun, 2012. "Tail distortion risk and its asymptotic analysis," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 115-121.
    7. 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.
    8. Holly Brannelly & Andrea Macrina & Gareth W. Peters, 2021. "Stochastic measure distortions induced by quantile processes for risk quantification and valuation," Papers 2201.02045, arXiv.org.

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