Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses (Q654807)

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Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses
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    Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses (English)
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    21 December 2011
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    proportional-hazard premium
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    proportional-hazard transform
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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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