@misc{10498/33388,
year = {2019},
url = {http://hdl.handle.net/10498/33388},
abstract = {Given a set of n >= 2 independent and identically distributed claims, the
expected average of the n−i largest claims, with 0 <= i<= n−1, is shown
to be a distortion risk measure with concave distortion function that
can be represented in terms of mixtures of tail value-at-risks with beta
mixing distributions. This result allows to interpret the tail value-at-risk
in terms of the largest claims of a portfolio of independent claims. As an
application, we provide sufficient conditions for stochastic comparisons
of premiums in the context of large claims reinsurance.},
publisher = {ELSEVIER},
keywords = {risk measure},
keywords = {premium principle},
keywords = {order statistics},
keywords = {stop-loss order},
keywords = {excess-wealth order},
keywords = {reinsurance},
title = {On a family of risk measures based on largest claims},
doi = {10.1016/J.INSMATHECO.2019.02.003},
author = {Castaño Martínez, Antonia and Pigueiras Voces, Gema and Sordo Díaz, Miguel Ángel},
}