| 来源类型 | Article |
| 规范类型 | 其他 |
| DOI | 10.1007/s10479-018-3119-1 |
| The distortion principle for insurance pricing: properties, identification and robustness. | |
| Escobar DD | |
| 发表日期 | 2018 |
| 出处 | Annals of Operations Research |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | Distortion (Denneberg in ASTIN Bull 20(2):181–190, 1990) is a well known premium calculation principle for insurance contracts. In this paper, we study sensitivity properties of distortion functionals w.r.t. the assumptions for risk aversion as well as robustness w.r.t. ambiguity of the loss distribution. Ambiguity is measured by the Wasserstein distance. We study variances of distances for probability models and identify some worst case distributions. In addition to the direct problem we also investigate the inverse problem, that is how to identify the distortion density on the basis of observations of insurance premia. |
| 主题 | Risk & ; Resilience (RISK) |
| 关键词 | Ambiguity Distortion premium Dual representation Premium principles Risk measures Wasserstein distance |
| URL | http://pure.iiasa.ac.at/id/eprint/15659/ |
| 来源智库 | International Institute for Applied Systems Analysis (Austria) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/131259 |
| 推荐引用方式 GB/T 7714 | Escobar DD. The distortion principle for insurance pricing: properties, identification and robustness.. 2018. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| Escobar-Pflug2018_Ar（954KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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