Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime (Q2520441)
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scientific article; zbMATH DE number 6662954
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| English | Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime |
scientific article; zbMATH DE number 6662954 |
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Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime (English)
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13 December 2016
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proportional-hazard premium
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distortion risk measure
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distortion parameter
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extreme value
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heavy tail
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risk aversion index
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Lévy-stable distribution
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0.9242615699768066
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0.8238323330879211
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0.818567156791687
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0.8138806819915771
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