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ArticleOn convex principles of premium calculation

Olivier Deprez1985

Article1985

On convex principles of premium calculation

Olivier Deprez · Hans U. Gerber

191 citations·0/0 files stored·Insurance Mathematics and Economics

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Probability and Risk Models Insurance and Financial Risk Management Risk and Portfolio Optimization

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References

1979An introduction to mathematical risk theory 1970Mathematical Methods in Risk Theory 1980An Economic Premium Principle

Cited by

2001Optimal reinsurance under mean-variance premium principles 1998Utility Functions 1999Optimal insurance under Wang’s premium principle 2005Stochastic orders and risk measures: Consistency and bounds 2007To Split or Not to Split: Capital Allocation with Convex Risk Measures 2008Optimal reinsurance with general risk measures 2007VALUATIONS AND DYNAMIC CONVEX RISK MEASURES 2011ENTROPIC RISK MEASURES: COHERENCE VS. CONVEXITY, MODEL AMBIGUITY AND ROBUST LARGE DEVIATIONS

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Year1985

Typearticle

Published1985-07-01

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations191

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/0167-6687(85)90014-9

openalex_workW2080427196

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