Generalized PELVE and applications to risk measures

DOI10.1007/S13385-022-00320-6MaRDI QIDQ6173891zbMATH OpenFDO

Authors Anna Maria Fiori, Emanuela Rosazza Gianin

Publication date 13 July 2023

Published in European Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S13385-022-00320-6

zbMATH Keywords

conditional value at riskdistortion measuregeneralized Pareto distributionsrisk measuresWang premium

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Statistical methods; risk measures (91G70)

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Cites work

• A discussion on mean excess plots
• Axiomatic characterization of insurance prices
• Coherent measures of risk
• Coherent measures of risk in everyday market practice†
• Coherent risk measures
• Comonotonicity, correlation order and premium principles
• Dependence structure of risk factors and diversification effects
• Distortion riskmetrics on general spaces
• Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime
• Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses
• scientific article; zbMATH DE number 1795842 (Why is no real title available?)
• scientific article; zbMATH DE number 1795125 (Why is no real title available?)
• Multivariate peaks over thresholds models
• On distortion functionals
• On the Sums of Independently Distributed Pareto Variates
• Optimal insurance under Wang's premium principle.
• Parametric measures of variability induced by risk measures
• PELVE: probability equivalent level of VaR and ES
• Probability equivalent level of value at risk and higher-order expected shortfalls
• Quantitative risk management. Concepts, techniques and tools
• Risk measures and Pareto style tails
• Risk measures, distortion parameters, and their empirical estimation
• Robustness and sensitivity analysis of risk measurement procedures
• Stochastic finance. An introduction in discrete time.
• The Distribution of Sums of Certain I.I.D. Pareto Variates
• The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance

Cited in

(3)

• Inter-order relations between equivalence for \(L_p\)-quantiles of the Student's \(t\) distribution
• Calibrating Distribution Models from PELVE
• Risk measures based on target risk profiles

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