On some risk-adjusted tail-based premium calculation principles

MaRDI QIDQ3566017zbMATH OpenFDO

Authors Edward Furman, Zinoviy Landsman

Publication date 7 June 2010

zbMATH Keywords

distortion functiontail conditional expectationWang's premium principlerisk-adjusted tail conditional expectationrisk-adjusted tail standard deviationtail standard deviation

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

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• Premium adjustment by generalized adaptive exponential smoothing
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• On a family of risk measures based on proportional hazards models and tail probabilities
• Deriving robust Bayesian premiums under bands of prior distributions with applications
• Weighted premium calculation principles
• Comparing Risk Adjusted Premiums from the Reinsurance Point of View
• Conditional tail expectation and premium calculation

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