Sensitivity analysis and tail variability for the Wang's actuarial index

DOI10.1016/J.INSMATHECO.2021.03.003MaRDI QIDQ2034162zbMATH OpenOpenAlexFDO

Authors Georgios Psarrakos, Polyxeni Vliora

Publication date 21 June 2021

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2021.03.003

zbMATH Keywords

cumulative residual entropymean excess functionproportional hazards modelright-tail indextail variability measures

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

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Cites work

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• A stop-loss risk index
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• Coherent measures of risk
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• Empirical Estimation of Risk Measures and Related Quantities
• Entropy, longevity and the cost of annuities
• scientific article; zbMATH DE number 3484308 (Why is no real title available?)
• scientific article; zbMATH DE number 2166304 (Why is no real title available?)
• scientific article; zbMATH DE number 5029517 (Why is no real title available?)
• More on a new concept of entropy and information
• On a family of risk measures based on proportional hazards models and tail probabilities
• On relative ordering of mean residual lifetime functions
• On the dynamic cumulative residual entropy
• Relations for reliability measures of weighted distributions
• Tail Conditional Expectations for Exponential Dispersion Models
• Tail Variance Premium with Applications for Elliptical Portfolio of Risks
• The Dutch premium principle

Cited in

(2)

• An Actuarial Index of the Right-Tail Risk
• A family of variability measures based on the cumulative residual entropy and distortion functions

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