RT journal article
T1 A family of premium principles based on mixtures of TVaRs
A1 Castaño Martínez, Antonia
A1 Pigueiras Voces, Gema
A1 Sordo Díaz, Miguel Ángel
A2 Estadística e Investigación Operativa
K1 premium principle
K1 risk measure
K1 order statistics
K1 distortion function.
AB Risk-adjusted distributions are commonly used in actuarial science tode ne premium principles. In this paper, we claim that an appropriaterisk-adjusted distribution, besides of satisfying other desirable properties,should be well-behaved under conditioning with respect to theoriginal risk distribution. Based on a sequence of such risk-adjusteddistributions, we introduce a family of premium principles that graduallyincorporate the degree of risk-aversion of the insurer in the safetyloading. Members of this family are particular distortion premium principlesthan can be represented as mixtures of TVaRs, where the weightsin the mixture reect the attitude toward risk of the insurer. We makea systematic study of this family of premium principles.
PB ELSEVIER
SN 0167-6687
YR 2016
FD 2016
LK http://hdl.handle.net/10498/33441
UL http://hdl.handle.net/10498/33441
LA eng
DS Repositorio Institucional de la Universidad de Cádiz
RD 06-nov-2026