Weighted Premium Calculation Principles

Furman, Edward; Zitikis, Ričardas

doi:10.2139/ssrn.1001126

Cited by 34 publications

(42 citation statements)

References 31 publications

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“…It belongs to both the distorted and weighted risk measures (see Wang, 1996;Dhaene et al, 2006;Furman and Zitikis, 2008a). Practically, CTE has already replaced VaR in regulatory requirements of, e.g., Canada, Israel and Switzerland.…”

Section: Introductionmentioning

confidence: 99%

Asymptotics for risk capital allocations based on Conditional Tail Expectation

Asimit

Furman

Tang

et al. 2011

Insurance: Mathematics and Economics

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Abstract. An investigation of the limiting behavior of a risk capital allocation rule based on the Conditional Tail Expectation (CTE) risk measure is carried out. More specifically, with the help of general notions of Extreme Value Theory (EVT), the aforementioned risk capital allocation is shown to be asymptotically proportional to the corresponding Value-atRisk (VaR) risk measure. The existing methodology acquired for VaR can therefore be applied to a somewhat less well-studied CTE. In the context of interest, the EVT approach is seemingly well-motivated by modern regulations, which openly strive for the excessive prudence in determining risk capitals.

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Section: Introductionmentioning

confidence: 99%

Asymptotics for risk capital allocations based on Conditional Tail Expectation

Asimit

Furman

Tang

et al. 2011

Insurance: Mathematics and Economics

Self Cite

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“…Obviously, this condition is satisfied by the distortion premium calculation principle (e.g., [2]), which has been assumed in, for example [8,25], among others. For a discussion of the validity of this condition in the case of the weighted premium calculation principle, we refer to [3]. In the current paper, we adopt the simplest expectation premium principle (Equation (1)) for the simplicity of presentation.…”

Section: Remarkmentioning

confidence: 99%

“…For this service, the ceding company pays the reinsurer a premium, and there are many premium calculation principles (e.g., [1,2]; see also [3,4]). …”

Section: Introductionmentioning

confidence: 99%

Optimal Reinsurance Policies under the VaR Risk Measure When the Interests of Both the Cedent and the Reinsurer Are Taken into Account

Jiang

Ren

Zitikis

2017

Risks

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Optimal forms of reinsurance policies have been studied for a long time in the actuarial literature. Most existing results are from the insurer's point of view, aiming at maximizing the expected utility or minimizing the risk of the insurer. However, as pointed out by Borch (1969), it is understandable that a reinsurance arrangement that might be very attractive to one party (e.g., the insurer) can be quite unacceptable to the other party (e.g., the reinsurer). In this paper, we follow this point of view and study forms of Pareto-optimal reinsurance policies whereby one party's risk, measured by its value-at-risk (VaR), cannot be reduced without increasing the VaR of the counter-party in the reinsurance transaction. We show that the Pareto-optimal policies can be determined by minimizing linear combinations of the VaRs of the two parties in the reinsurance transaction. Consequently, we succeed in deriving user-friendly, closed-form, optimal reinsurance policies and their parameter values.

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“…For more applications of m X (t) in insurance and economics, one may refer to Furman and Zitikis [9]. For completeness we give a brief outline of the proof.…”

Section: Characterizations Based On Weighted Residual Inaccuracy Measurementioning

confidence: 99%

Characterizations based on length-biased weighted measure of inaccuracy for truncated random variables

Kundu

2014

Appl Math

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Weighted Premium Calculation Principles

Cited by 34 publications

References 31 publications

Asymptotics for risk capital allocations based on Conditional Tail Expectation

Asymptotics for risk capital allocations based on Conditional Tail Expectation

Optimal Reinsurance Policies under the VaR Risk Measure When the Interests of Both the Cedent and the Reinsurer Are Taken into Account

Characterizations based on length-biased weighted measure of inaccuracy for truncated random variables

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