Ordering of risks under PH-transforms

DOI10.1016/0167-6687(95)00031-3MaRDI QIDQ2563879zbMATH OpenOpenAlexWikidataFDO

Authors Shaun S. Wang

Publication date 6 January 1997

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

Full work available at URL https://doi.org/10.1016/0167-6687(95)00031-3

zbMATH Keywords

ordering of risksPH-transformpremium calculation principleproportional hazardsrisk-neutral valuation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A martingale approach to premium calculation principles in an arbitrage free market
• scientific article; zbMATH DE number 3844885 (Why is no real title available?)
• Insurance pricing and increased limits ratemaking by proportional hazards transforms
• Martingales and arbitrage in multiperiod securities markets
• Optimal reinsurance in relation to ordering of risks
• Orderings of risks: A comparative study via stop-loss transforms
• Properties of premium calculation principles
• Reinsurance in arbitrage-free markets
• Stop-loss order, unequal means, and more dangerous distributions
• The Dutch premium principle

Cited in

(9)

• Ordering risks: expected utility theory versus Yaari's dual theory of risk
• Actuarial applications of the linear hazard transform in life contingencies
• Tail distortion risk and its asymptotic analysis
• Actuarial applications of the linear hazard transform in mortality immunization
• A new characterization of distortion premiums via countable additivity for comonotonic risks
• scientific article; zbMATH DE number 845459 (Why is no real title available?)
• A general class of distortion operators for pricing contingent claims with applications to CAT bonds
• An Actuarial Index of the Right-Tail Risk
• Estimating L-functionals for heavy-tailed distributions and application

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