SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Risk measures, distortion parameters, and their empirical estimation
12 references·1 citing·39 second hop
Risk measures, distortion parameters, and their empirical estimation (2006)Risk measures, distortion parameters, and…Encyclopedia of Actuarial Science (2006)Encyclopedia of Actuarial Sci…Premium Principles (2004)Premium PrinciplesEmpirical Estimation of Risk Measures and Related Quantities (2003)Empirical Estimation of Risk …Economic capital allocation derived from risk measures (2002)Economic capital allocation d…Risk measures and insurance premium principles (2001)Risk measures and insurance p…A Class of Distortion Operators for Pricing Financial and Insurance Risks (2000)A Class of Distortion Operato…Application of Coherent Risk Measures to Capital Requirements in Insurance (1999)Application of Coherent Risk …A synthesis of risk measures for capital adequacy (1999)A synthesis of risk measures …Actuarial Mathematics. (1986)Actuarial Mathematics.On convex principles of premium calculation (1985)On convex principles of premi…Insurance premiums: Theory and applications (1984)Insurance premiums: Theory an…An introduction to mathematical risk theory (1979)An introduction to mathematic…Stochastic comparisons of distorted variability measures (2011)Stochastic comparisons of dis…Modelling Extremal Events (1997)Loss Models: From Data to Decisions (1999)MEASUREMENT OF RISK, SOLVENCY REQUIREMENTS AND ALLOCATION OF CAPITAL WITHIN FINANCIAL CONGLOMERATES (2002)Theory of rational option pricing (2005)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Risk measures and comonotonicity (2006)Constructing Uncertainty Sets for Robust Linear Optimization (2009)On Economic Inequality (1973)Handbook of income distribution (2000)Estimating conditional tail expectation with actuarial applications in view (2008)Weighted Pricing Functionals With Applications to Insurance (2009)Statistical estimation of composite risk functionals and risk optimization problems (2016)Premium Calculation by Transforming the Layer Premium Density (1996)Axiomatic characterization of insurance prices (1997)Coherent Measures of Risk (1999)After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures (2006)Optimal Reinsurance Arrangements Under Tail Risk Measures (2009)Mathematical Methods in Risk Theory (1970)An Economic Premium Principle (1980)Utility Functions (1998)Optimal insurance under Wang’s premium principle (1999)Optimal reinsurance under mean-variance premium principles (2001)Increasing risk II: Its economic consequences (1971)Risk capital allocation by coherent risk measures based on one-sided moments (2003)Insurance: Mathematics and Economics (2004)External Risk Measures and Basel Accords (2013)Option pricing by Esscher transforms. (1995)On the Time Value of Ruin (1998)Controlled diffusion models for optimal dividend pay-out (1997)Affine processes for dynamic mortality and actuarial valuations (2005)Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift (2005)Weighted premium calculation principles (2007)Weighted risk capital allocations (2008)Ripple effect quantification by supplier risk exposure assessment (2019)Optimal reinsurance under convex principles of premium calculation (2005)VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance (2009)
this work references cited by second hop

References

  • 1979An introduction to mathematical risk theory914 cited
  • 2000A Class of Distortion Operators for Pricing Financial and Insurance Risks650 cited
  • 1986Actuarial Mathematics.623 cited
  • 2006Encyclopedia of Actuarial Science258 cited
  • 1999Application of Coherent Risk Measures to Capital Requirements in Insurance214 cited
  • 2002Economic capital allocation derived from risk measures198 cited
  • 1985On convex principles of premium calculation191 cited
  • 1999A synthesis of risk measures for capital adequacy181 cited
  • 1984Insurance premiums: Theory and applications131 cited
  • 2003Empirical Estimation of Risk Measures and Related Quantities121 cited
  • 2004Premium Principles80 cited
  • 2001Risk measures and insurance premium principles52 cited

Cited by

  • 2011Stochastic comparisons of distorted variability measures41 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work