Abstract
In actuarial literature the properties of risk measures or insurance premium principles have been extensively studied. We propose a characterization of a particular class of coherent risk measures defined in [Art99]. The considered premium principles are obtained by expansion of TVaR measures, consequently they look very interesting in insurance pricing where TVaR measures are frequently used to value tail risks.
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© 2008 Springer, Milan
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Cardin, M., Pacelli, G. (2008). Characterization of Convex Premium Principles. In: Perna, C., Sibillo, M. (eds) Mathematical and Statistical Methods in Insurance and Finance. Springer, Milano. https://doi.org/10.1007/978-88-470-0704-8_7
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DOI: https://doi.org/10.1007/978-88-470-0704-8_7
Publisher Name: Springer, Milano
Print ISBN: 978-88-470-0703-1
Online ISBN: 978-88-470-0704-8
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