Nos derniers articles

2 résultats pour « premium principles »

Worst‑cases of distortion riskmetrics and weighted entropy with partial information

30 mai 2024 Autre, premium principles, weighted entropy, distortion riskmetrics, worst-case, shortfalls, Quantification des risques

"The risk measures contain some premium principles and shortfalls based on entropy. The shortfalls include the Gini shortfall, extended Gini shortfall, shortfall of cumulative residual entropy and shortfall of cumulative residual Tsallis entropy with order α."

Estimation of Generalized Tail Distortion Risk Measures with Applications in Reinsurance

16 mai 2024 Autre, reinsurance, distortion risk measures, premium principles, extreme value theory, Quantification des risques

New estimators for generalized tail distortion (GTD) risk measures are proposed, based on first-order asymptotic expansions, offering simplicity and comparable or better performance than existing methods. A reinsurance premium principle using GTD risk measure is tested on car insurance claims data, suggesting its effectiveness in embedding safety loading in pricing to counter statistical uncertainty.

Une question ? Une collaboration ?
Contactez‑nous dès aujourd'hui

Nom

Téléphone

E-Mail

Message

Votre message a bien été envoyé

Metametris
6 rue d’Armaillé
75017 - Paris

du lundi au vendredi
de 8h à 18h

06 07 91 04 29