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https://doi.org/10.1016/j.insmatheco.2003.12.003
| Title: | A stop-loss risk index | Authors: | Wei, W. Yatracos, Y. |
Keywords: | Dutch premium Right-tail index Tail conditional expectation Tail ordering |
Issue Date: | 19-Apr-2004 | Citation: | Wei, W., Yatracos, Y. (2004-04-19). A stop-loss risk index. Insurance: Mathematics and Economics 34 (2) : 241-250. ScholarBank@NUS Repository. https://doi.org/10.1016/j.insmatheco.2003.12.003 | Abstract: | An index related with the Dutch premium calculation principle [Insur.: Math. Econ. 11 (1992) 129] and the tail conditional expectation [Math. Finance 9 (1999) 203] is proposed to measure the right-tail insurance risk. The index agrees with pure-tail ordering, is superadditive for comonotonic losses and is compared in examples with Wang's [North American Actuarial Journal 2 (1998) 88] index. © 2004 Elsevier B.V. All rights reserved. | Source Title: | Insurance: Mathematics and Economics | URI: | http://scholarbank.nus.edu.sg/handle/10635/104978 | ISSN: | 01676687 | DOI: | 10.1016/j.insmatheco.2003.12.003 |
| Appears in Collections: | Staff Publications |
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