کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5077064 | 1374115 | 2009 | 7 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Loss reserving using loss aversion functions
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
This article discusses the determination of risk capital based on “aversion” functions. Aversion functions weigh different outcomes according to perceived severity. Many practical and popular risk measures are usefully viewed in terms of aversion functions including those arising from distortion operators and risk margin loadings. The approach of this paper builds on, unifies, and extends existing disparate approaches discussed in the literature. Analytical and computer generated illustrations are given as well as suggestions for the practical determination of aversion functions.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 45, Issue 2, October 2009, Pages 271-277
Journal: Insurance: Mathematics and Economics - Volume 45, Issue 2, October 2009, Pages 271-277
نویسندگان
Weihao Choo, Piet de Jong,