Weighted Pricing Functionals With Applications to Insurance
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Cites work
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- Axiomatic characterization of insurance prices
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- Conditional tail expectations for multivariate phase-type distributions
- Decision theoretic foundations of credibility theory
- Dynamic capital allocation with distortion risk measures
- Economic Capital Allocation Derived from Risk Measures
- Economic Capital Allocations for Non-negative Portfolios of Dependent Risks
- Empirical Estimation of Risk Measures and Related Quantities
- Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts
- Estimating conditional tail expectation with actuarial applications in view
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- Insurance pricing and increased limits ratemaking by proportional hazards transforms
- Marginal Decomposition of Risk Measures
- Modeling, measuring and managing risk
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- Multivariate skew-normal distributions with applications in insurance
- Non-additive measure and integral
- Normalized Exponential Tilting
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- On convex principles of premium calculation
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- Risk measurement in the presence of background risk
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- VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance
- Weighted Distributions and Size-Biased Sampling with Applications to Wildlife Populations and Human Families
- Weighted premium calculation principles
- Weighted risk capital allocations
- “An Actuarial Premium Pricing Model for Nonnormal Insurance and Financial Risks in Incomplete Markets”, Zinoviy Landsman and Michael Sherris, January 2007
Cited in
(40)- On distribution-free safe layer-additive pricing
- CMPH: a multivariate phase-type aggregate loss distribution
- Quantifying non-monotonicity of functions and the lack of positivity in signed measures
- Statistical foundations for assessing the difference between the classical and weighted-Gini betas
- Weighted risk capital allocations in the presence of systematic risk
- Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent losses
- Log-supermodularity of weight functions, ordering weighted losses, and the loading monotonicity of weighted premiums
- Weak comonotonicity
- Weighted allocations, their concomitant-based estimators, and asymptotics
- Computing the Gini index: a note
- Pricing compound Poisson processes with the Farlie-Gumbel-Morgenstern dependence structure
- A note on weighted premium calculation principles
- Bivariate credibility bonus-malus premiums distinguishing between two types of claims
- Loading monotonicity of weighted premiums, and total positivity properties of weight functions
- Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type
- Optimal insurance under maxmin expected utility
- On some problem of determination of insurance premium leading to functional equation
- Background risk models and stepwise portfolio construction
- Probability inequalities for weighted distributions
- PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS
- Beyond the Pearson correlation: heavy-tailed risks, weighted Gini correlations, and a Gini-type weighted insurance pricing model
- Pricing risk when distributions are fat tailed
- Budget-constrained optimal retention with an upper limit on the retained loss
- Size-biased risk measures of compound sums
- Discussion on “Size-Biased Risk Measures of Compound Sums,” by Michel Denuit, January 2020
- VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance
- How much is optimal reinsurance degraded by error?
- A method for constructing and interpreting some weighted premium principles
- Large-loss behavior of conditional mean risk sharing
- A general class of distortion operators for pricing contingent claims with applications to CAT bonds
- Optimal reinsurance under the risk-adjusted value of an insurer's liability and an economic reinsurance premium principle
- Truncated linear zero utility pricing and actuarial protection models
- Pareto-optimal insurance with an upper limit on the insurer's exposure
- Estimating the VaR-induced Euler allocation rule
- Calculating premium principles from the mode of a unimodal weighted distribution
- Estimation of generalized tail distortion risk measures with applications in reinsurance
- On a general class of functionals: statistical inference and application to risk measures
- Pricing insurance contracts with an existing portfolio as background risk
- Weighted premium calculation principles
- Grüss-type bounds for the covariance of transformed random variables
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