Properties of a risk measure derived from the expected area in red
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- Loisel, Stéphane & Trufin, Julien, 2014. "Properties of a risk measure derived from the expected area in red," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 191-199.
References listed on IDEAS
- Albrecher, Hansjörg & Constantinescu, Corina & Loisel, Stephane, 2011.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Hirbod Assa & Manuel Morales & Hassan Omidi Firouzi, 2016. "On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory," Risks, MDPI, Open Access Journal, vol. 4(3), pages 1-20, August.
- Guérin, Hélène & Renaud, Jean-François, 2017. "On the distribution of cumulative Parisian ruin," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 116-123.
- repec:gam:jrisks:v:6:y:2018:i:3:p:85-:d:165493 is not listed on IDEAS
More about this item
KeywordsRuin probability; risk measure; expected area in red; stochastic ordering; risk limit;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-05-04 (All new papers)
- NEP-RMG-2014-05-04 (Risk Management)
- NEP-UPT-2014-05-04 (Utility Models & Prospect Theory)
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