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Premiums and reserves, adjusted by distortions
16 references·2 citing·32 second hop
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this work references cited by second hop

References

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  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 2009Lectures on Stochastic Programming: Modeling and Theory1,623 cited
  • 2002Stochastic Finance: An Introduction in Discrete Time1,190 cited
  • 2002Spectral measures of risk: A coherent representation of subjective risk aversion946 cited
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  • 2001On law invariant coherent risk measures676 cited
  • 2000A Class of Distortion Operators for Pricing Financial and Insurance Risks650 cited
  • 1997Axiomatic characterization of insurance prices535 cited
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  • 1998Comonotonicity, correlation order and premium principles153 cited
  • 2007Modeling, Measuring and Managing Risk149 cited
  • 2010Optimal Reinsurance under VaR and CVaR Risk Measures: A Simplified Approach148 cited
  • 2007Weighted premium calculation principles147 cited
  • 19898: Methods in Operations Research

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  • 2017A quantitative comparison of risk measures33 cited
  • 2014Time Consistency0 cited