Fourier-analytic measures for heavy-tailed insurance losses

DOI10.1080/03461238.2013.859634zbMath1401.91184OpenAlexW1988350372MaRDI QIDQ4576913

Thomas Y. Powers, Michael R. Powers

Publication date: 11 July 2018

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

Full work available at URL: https://doi.org/10.1080/03461238.2013.859634

zbMATH Keywords

Fourier analysisheavy tailsadditivityrisk measurediversificationdeviation measureinsurance lossesLévy-stable family

Mathematics Subject Classification ID

Cites Work

• Coherent Measures of Risk
• Quasi-Likelihood Estimation of Benchmark Rates for Excess of Loss Reinsurance Programs
• Portfolio Analysis in a Stable Paretian Market
• Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database
• Unnamed Item

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