On a family of risk measures based on proportional hazards models and tail probabilities
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Publication:2415980
cumulative residual entropydispersive orderGini mean differencepremium principleproportional hazards modelresidual lifetimevariability measures
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Cites work
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- Comparing tail variabilities of risks by means of the excess wealth order
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- Insurance pricing and increased limits ratemaking by proportional hazards transforms
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- Some properties of cumulative Tsallis entropy of order \(\alpha \)
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Cited in
(16)- Sensitivity analysis and tail variability for the Wang's actuarial index
- Fractional generalized cumulative entropy and its dynamic version
- Statistical inference for tail-based cumulative residual entropy
- On some risk-adjusted tail-based premium calculation principles
- Fourier-analytic measures for heavy-tailed insurance losses
- Model points and tail-VaR in life insurance
- A method for constructing and interpreting some weighted premium principles
- An Actuarial Index of the Right-Tail Risk
- Cumulative entropy of progressively type-II censored order statistics and associated optimal life testing-plans
- Generalized cumulative residual Tsallis entropy and its properties
- Type-II progressive censoring with GLM-based random removal mechanism dependent on the experimental conditions
- A family of variability measures based on the cumulative residual entropy and distortion functions
- Comparing tail variabilities of risks by means of the excess wealth order
- Ordering higher risks in Yaari's dual theory
- Distributionally robust tail bounds based on Wasserstein distance and f-divergence
- Worst-case distortion riskmetrics and weighted entropy with partial information
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