Insurance premium-based shortfall risk measure induced by cumulative prospect theory

cumulative prospect theory distortion risk measure statistical robustness generalized shortfall risk measure insurance premium-based shortfall risk measure

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

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Qualitative and infinitesimal robustness of tail-dependent statistical functionals
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Robust Spectral Risk Optimization When Information on Risk Spectrum Is Incomplete
A METHOD FOR CONSTRUCTING AND INTERPRETING SOME WEIGHTED PREMIUM PRINCIPLES

Cited In (1)

Risk Theory and Insurance Premiums

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