Ordering of risks under PH-transforms

DOI10.1016/0167-6687(95)00031-3zbMath0859.90056OpenAlexW2087472177WikidataQ127878257 ScholiaQ127878257MaRDI QIDQ2563879

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

proportional hazardsrisk-neutral valuationordering of riskspremium calculation principlePH-transform

Mathematics Subject Classification ID

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

Related Items

Estimating L-functionals for heavy-tailed distributions and application, 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, Actuarial applications of the linear hazard transform in life contingencies, Ordering risks: expected utility theory versus Yaari's dual theory of risk, A general class of distortion operators for pricing contingent claims with applications to CAT bonds, An Actuarial Index of the Right-Tail Risk

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