IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this paper

On the characterization of convex premium principles

Author Info

  • 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.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://virgo.unive.it/wpideas/storage/2006wp142.pdf
Download Restriction: no

Paper provided by Department of Applied Mathematics, Università Ca' Foscari Venezia in its series Working Papers with number 142.

as
in new window

Length: 11 pages
Date of creation: Nov 2006
Date of revision:
Handle: RePEc:vnm:wpaper:142
Contact details of provider: Postal:
Dorsoduro, 3825/E, 30123 Venezia

Phone: ++39 041 2346910-6911
Fax: ++ 39 041 5221756
Web page: http://www.dma.unive.it/

More information through EDIRC

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

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as in new window
  1. Wang, Shaun & Dhaene, Jan, 1998. "Comonotonicity, correlation order and premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 22(3), pages 235-242, July.
  2. 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.
  3. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
Full references (including those not matched with items on IDEAS)

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

as in new window


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.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Access and download statistics

When requesting a correction, please mention this item's handle: RePEc:vnm:wpaper:142. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marco LiCalzi)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.