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Are quantile risk measures suitable for risk-transfer decisions?

Author

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  • Guerra, Manuel
  • Centeno, M.L.

Abstract

Although controversial from the theoretical point of view, quantile risk measures are widely used by institutions and regulators.

Suggested Citation

  • Guerra, Manuel & Centeno, M.L., 2012. "Are quantile risk measures suitable for risk-transfer decisions?," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 446-461.
  • Handle: RePEc:eee:insuma:v:50:y:2012:i:3:p:446-461
    DOI: 10.1016/j.insmatheco.2012.02.006
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    References listed on IDEAS

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    8. Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A., 2010. "Decision principles derived from risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 294-302, December.
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    15. Guerra, Manuel & Centeno, Maria de Lourdes, 2010. "Optimal Reinsurance for Variance Related Premium Calculation Principles," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 40(01), pages 97-121, May.
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    Cited by:

    1. Chi, Yichun, 2012. "Optimal reinsurance under variance related premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 310-321.

    More about this item

    Keywords

    Coherent risk measures; Conditional tail expectation; Risk; Risk measures; Optimal reinsurance; Quantile risk measures; Truncated stop loss; Value at Risk;

    JEL classification:

    • C00 - Mathematical and Quantitative Methods - - General - - - General
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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