Conditional tail expectation and premium calculation

DOI10.2143/AST.42.1.2160745MaRDI QIDQ2866015zbMATH OpenOpenAlexFDO

Authors Beatriz Balbás, José Luis Vilar, Antonio Heras

Publication date 12 December 2013

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://EconPapers.repec.org/RePEc:cup:astinb:v:42:y:2012:i:01:p:325-342_00

zbMATH Keywords

conditional tail expectationloss functionpremium principlesrisk measuresvalue at risk

Mathematics Subject Classification ID

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Cited in

(5)

• On some risk-adjusted tail-based premium calculation principles
• Premiums and reserves, adjusted by distortions
• RISK MEASURES DERIVED FROM A REGULATOR’S PERSPECTIVE ON THE REGULATORY CAPITAL REQUIREMENTS FOR INSURERS
• Reinsurance premium principles based on weighted loss functions
• Parametric expectile regression and its application for premium calculation

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