The distortion principle for insurance pricing: properties, identification and robustness
Author:
Funder
University of Vienna
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Decision Sciences
Link
http://link.springer.com/content/pdf/10.1007/s10479-018-3119-1.pdf
Reference34 articles.
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3. Denneberg, D. (1990). Premium calculation: Why standard deviation should be replaced by absolute deviation. ASTIN Bulletin, 20(2), 181–190.
4. Embrechts, P., Klüppelberg, C., & Mikosch, T. (1997). Modelling extremal events for insurance and finance. Berlin: Springer.
5. Furman, E., Wang, R., & Zitikis, R. (2017). Gini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks. Journal of Banking and Finance, 83, 70–84.
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