On a family of risk measures based on largest claims

DOI10.1016/j.insmatheco.2019.02.003zbMath1411.91268OpenAlexW2916943243WikidataQ128320581 ScholiaQ128320581MaRDI QIDQ2415968

Mangel A. Sordo, Antonia Castaño-Martínez, Gema Pigueiras

Publication date: 23 May 2019

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.02.003

zbMATH Keywords

order statisticsrisk measurereinsurancestop-loss orderpremium principleexcess-wealth order

Mathematics Subject Classification ID

Related Items (6)

Increasing concave orderings of linear combinations of order statistics with applications to social welfare ⋮ Stochastic comparisons of largest claim amounts from heterogeneous portfolios ⋮ A max-min model of random variables in bivariate random sequences ⋮ A METHOD FOR CONSTRUCTING AND INTERPRETING SOME WEIGHTED PREMIUM PRINCIPLES ⋮ Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes ⋮ Stochastic comparisons of the smallest and largest claim amounts with location-scale claim severities

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