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On characterization of a class of convex operators for pricing insurance risks

Author

Listed:
  • Marta Cardin

    (Department of Applied Mathematics-University Ca'Foscari-Venice)

  • Graziella Pacelli

    (Department of Social sciences- University of Ancona)

Abstract

The properties of risk measures or insurance premium principles have been extensively studied in actuarial literature. We propose an axiomatic description of a particular class of coherent risk measures defined in Artzner, Delbaen, Eber, and Heath (1999). The considered risk measures 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.

Suggested Citation

  • Marta Cardin & Graziella Pacelli, 2005. "On characterization of a class of convex operators for pricing insurance risks," Game Theory and Information 0511011, University Library of Munich, Germany.
  • Handle: RePEc:wpa:wuwpga:0511011
    Note: Type of Document - pdf; pages: 9
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/game/papers/0511/0511011.pdf
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    References listed on IDEAS

    as
    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. J. Dhaene & S. Vanduffel & M. Goovaerts, 2007. "Comonotonicity," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business, Review of Business and Economic Literature, vol. 0(2), pages 265-278.
    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.
    4. Wang, Shaun S. & Young, Virginia R. & Panjer, Harry H., 1997. "Axiomatic characterization of insurance prices," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 173-183, November.
    5. 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)

    More about this item

    Keywords

    Risk measures; premium principles; Choquet measures distortion function; TVar .;

    JEL classification:

    • C7 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory
    • D8 - Microeconomics - - Information, Knowledge, and Uncertainty

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