Loss reserving using loss aversion functions
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Cited by:
- Choo, Weihao & de Jong, Piet, 2015. "The tradeoff insurance premium as a two-sided generalisation of the distortion premium," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 238-246.
- Choo, Weihao & de Jong, Piet, 2016. "Insights to systematic risk and diversification across a joint probability distribution," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 142-150.
- Jianxi Su & Edward Furman, 2016. "A form of multivariate Pareto distribution with applications to financial risk measurement," Papers 1607.04737, arXiv.org.
- Kaluszka, M. & Laeven, R.J.A. & Okolewski, A., 2012. "A note on weighted premium calculation principles," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 379-381.
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Keywords
Distortion operators Loss aversion Risk measure Percentile rank aversion Standard deviation principle Premium loading Expected Maximum Loss;Statistics
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