On a family of risk measures based on largest claims

Identificadores
URI: http://hdl.handle.net/10498/33388
DOI: 10.1016/J.INSMATHECO.2019.02.003
ISSN: 0167-6687
Estadísticas
Métricas y Citas
Metadatos
Mostrar el registro completo del ítemFecha
2019Departamento/s
Estadística e Investigación OperativaFuente
Insurance: Mathematics and Economics, Vol. 86, 2019, pp. 92-97Resumen
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.
Materias
risk measure; premium principle; order statistics; stop-loss order; excess-wealth order; reinsuranceColecciones
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