RT journal article
T1 On a family of risk measures based on largest claims
A1 Castaño Martínez, Antonia
A1 Pigueiras Voces, Gema
A1 Sordo Díaz, Miguel Ángel
A2 Estadística e Investigación Operativa
K1 risk measure
K1 premium principle
K1 order statistics
K1 stop-loss order
K1 excess-wealth order
K1 reinsurance
AB Given a set of n >= 2 independent and identically distributed claims, theexpected average of the n−i largest claims, with 0 <= i<= n−1, is shownto be a distortion risk measure with concave distortion function thatcan be represented in terms of mixtures of tail value-at-risks with betamixing distributions. This result allows to interpret the tail value-at-riskin terms of the largest claims of a portfolio of independent claims. As anapplication, we provide sufficient conditions for stochastic comparisonsof premiums in the context of large claims reinsurance.
PB ELSEVIER
SN 0167-6687
YR 2019
FD 2019
LK http://hdl.handle.net/10498/33388
UL http://hdl.handle.net/10498/33388
LA eng
DS Repositorio Institucional de la Universidad de Cádiz
RD 07-nov-2026