Please use this identifier to cite or link to this item:
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.
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
ISSN: 01676687
DOI: 10.1016/j.insmatheco.2003.12.003
Appears in Collections:Staff Publications

Show full item record
Files in This Item:
There are no files associated with this item.

Google ScholarTM



Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.