Premium Calculation for Fat-tailed Risk

DOI10.2143/AST.35.1.583171MaRDI QIDQ5490584zbMATH OpenOpenAlexFDO

Authors R. Gay

Publication date 4 October 2006

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.35.1.583171

zbMATH Keywords

expected value of extremesexponential principlepower principle, constant risk aversiontail-index uncertainty

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
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• scientific article; zbMATH DE number 3454265 (Why is no real title available?)
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• Pricing risk when distributions are fat tailed
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• Risk Aversion in the Small and in the Large
• Selecting the optimal sample fraction in univariate extreme value estimation
• Statistical inference using extreme order statistics
• Using a bootstrap method to choose the sample fraction in tail index estimation

Cited in

(5)

• On robust premium principles
• On some risk-adjusted tail-based premium calculation principles
• Explicit expressions for moments of Pareto order statistics
• Multivariate Pareto portfolios: TCE-based capital allocation and divided differences
• Pricing risk when distributions are fat tailed

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