An Actuarial Index of the Right-Tail Risk

From MaRDI portal
Publication:5718291

DOI10.1080/10920277.1998.10595708zbMath1081.62570OpenAlexW2149259910MaRDI QIDQ5718291

Shaun S. Wang

Publication date: 13 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.1998.10595708



Related Items

Modelling losses using an exponential-inverse Gaussian distribution, On the generalized cumulative residual entropy with applications in actuarial science, A new variability order based on tail-heaviness, A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy, ON THE ELASTICITY OF EXPECTED INTEREPOCH INTERVALS IN A NON-HOMOGENEOUS POISSON PROCESS UNDER SMALL VARIATIONS OF HAZARD RATE, ON CUMULATIVE RESIDUAL EXTROPY, On weighted generalized cumulative residual entropy of order \(n\), Measures of inaccuracy in record values, A new infinitely divisible discrete distribution with applications to count data modeling, Optimal reinsurance under general risk measures, A stop-loss risk index, How a probabilistic analogue of the mean value theorem yields stein-type covariance identities, Estimating L-functionals for heavy-tailed distributions and application, Statistical inference for tail-based cumulative residual entropy, On a family of risk measures based on proportional hazards models and tail probabilities, Quantile based geometric vitality function of order statistics, Extensions of fractional cumulative residual entropy with applications, On weighted cumulative Tsallis residual and past entropy measures, Results on a generalized fractional cumulative entropy, A family of variability measures based on the cumulative residual entropy and distortion functions, AN EM ALGORITHM FOR FITTING A NEW CLASS OF MIXED EXPONENTIAL REGRESSION MODELS WITH VARYING DISPERSION, Distribution-free comparison of pricing principles., Risk measures and insurance premium principles., On a family of coherent measures of variability, Jackknife empirical likelihood method for some risk measures and related quantities, On the \(L_p\)-metric between a probability distribution and its distortion, Characterizations of classes of risk measures by dispersive orders, Testing variability orderings by using Gini's mean differences, Empirical Estimation of Risk Measures and Related Quantities, Tail Conditional Expectations for Elliptical Distributions, A class of location-independent variability orders, with applications, Analytical Bounds for two Value-at-Risk Functionals, Optimal reinsurance under mean-variance premium principles, Weighted risk capital allocations, A new characterization of distortion premiums via countable additivity for comonotonic risks, Estimating the index of increase via balancing deterministic and random data, Sensitivity analysis and tail variability for the Wang's actuarial index, Comparison of risks based on the expected proportional shortfall, Tail Variance Premium with Applications for Elliptical Portfolio of Risks, The exponentiated Fréchet regression: an alternative model for actuarial modelling purposes, Interval Estimation of Actuarial Risk Measures, Weighted Pricing Functionals With Applications to Insurance



Cites Work