A Unified Approach to Generate Risk Measures

DOI10.2143/AST.33.2.503689MaRDI QIDQ4661679zbMATH OpenOpenAlexFDO

Authors Marc J. Goovaerts, Rob Kaas, J. Dhaene, Qihe Tang

Publication date 30 March 2005

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.33.2.503689

zbMATH Keywords

insurance premium principleMarkov inequalityrisk measure

Mathematics Subject Classification ID

Characterization and structure theory of statistical distributions (62E10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20)

Recommendations

• Risk measurement with equivalent utility principles
• RISK MEASURES: RATIONALITY AND DIVERSIFICATION
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Cites work

• A new premium calculation principle based on Orlicz norms
• Application of Coherent Risk Measures to Capital Requirements in Insurance
• Bounds on compound distributions and stop-loss premiums
• Coherent measures of risk
• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• scientific article; zbMATH DE number 3253656 (Why is no real title available?)
• scientific article; zbMATH DE number 3333061 (Why is no real title available?)
• scientific article; zbMATH DE number 3073201 (Why is no real title available?)
• Ordering risks: expected utility theory versus Yaari's dual theory of risk
• Put Option Premiums and Coherent Risk Measures
• The concept of comonotonicity in actuarial science and finance: applications.
• The concept of comonotonicity in actuarial science and finance: theory.
• The Dual Theory of Choice under Risk

Cited in

(21)

• On multiply monotone distributions, continuous or discrete, with applications
• Distortion measures and homogeneous financial derivatives
• On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures
• A comonotonic image of independence for additive risk measures
• Risk measures via g-expectations
• Additive consistency of risk measures and its application to risk-averse routing in networks
• A generalized measure of riskiness
• A premium principle based on the g-integral
• Constructing Risk Measures from Uncertainty Sets
• Risk Measures and Comonotonicity: A Review
• Cooperative hedging in the complete market under \(g\)-expectation constraint
• RISK MEASURES DERIVED FROM A REGULATOR’S PERSPECTIVE ON THE REGULATORY CAPITAL REQUIREMENTS FOR INSURERS
• Reinsurance premium principles based on weighted loss functions
• Truncated Stop Loss as Optimal Reinsurance Agreement in One-period Models
• Worst case risk measurement: back to the future?
• Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach
• Fair (intra-bank transfer) prices for credits with stochastic recovery
• On scalar invariant maps and applications
• Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure
• Properties of distortion risk measures
• Some new classes of consistent risk measures

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