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On the characterization of convex premium principles

Author Info

Listed author(s):
  • Marta Cardin

    ()

    (Department of Applied Mathematics, University of Venice)

  • Graziella Pacelli

    ()

    (Department of Social Sciences, University of Ancona)

Abstract

In actuarial literature the properties of risk measures or insurance premium principles have been extensively studied . We propose a characterization of a particular class of coherent risk measures defined in [1]. The considered premium principles are obtained by expansion of TVar measures, consequently they look like very interesting in insurance pricing where TVar measures is frequently used to value tail risks.

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File URL: http://virgo.unive.it/wpideas/storage/2006wp142.pdf
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Paper provided by Department of Applied Mathematics, Università Ca' Foscari Venezia in its series Working Papers with number 142.

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Length: 11 pages
Date of creation: Nov 2006
Handle: RePEc:vnm:wpaper:142
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Keywords: risk measures; premium principles; capacity; distortion function; TVar;

Find related papers by JEL classification:

  • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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  1. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
  2. Wang, Shaun & Dhaene, Jan, 1998. "Comonotonicity, correlation order and premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 22(3), pages 235-242, July.
  3. Lynn Wirch, Julia & Hardy, Mary R., 1999. "A synthesis of risk measures for capital adequacy," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 337-347, December.
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Cited by:

  1. Marta Cardin & Elisa Pagani, 2008. "Some proposals about multivariate risk measurement," Working Papers 165, Department of Applied Mathematics, Università Ca' Foscari Venezia.

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