Erratum to: `Statistical estimate of the proportional hazard premium of loss'

DOI10.1080/03461238.2010.507927zbMATH Open1226.91028arXiv1106.2791OpenAlexW2075576286MaRDI QIDQ3103207FDOQ3103207

Authors: A. Necir, B. Brahimi, D. Meraghni 

Publication date: 26 November 2011

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Abstract: We discuss two distinct approaches, for distorting risk measures of sums of dependent random variables, which preserve the property of coherence. The first, based on distorted expectations, operates on the survival function of the sum. The second, simultaneously applies the distortion on the survival function of the sum and the dependence structure of risks, represented by copulas. Our goal is to propose risk measures that take into account the fluctuations of losses and possible correlations between risk components.

Full work available at URL: https://arxiv.org/abs/1106.2791

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Mathematics Subject Classification ID

Order statistics; empirical distribution functions (62G30) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Cites Work

• Weighted empirical and quantile processes
• Statistical estimate of the proportional hazard premium of loss

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