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Title: Conditional tail expectation and premium calculation under asymmetric loss
Authors: Calderín Ojeda, Enrique Javier 
Gómez Déniz, Emilio 
Vázquez Polo, Francisco José 
UNESCO Clasification: 5302 Econometría
Keywords: Asymmetric Loss Function
Composite Models
Loss Distributions
Premium Calculation
Risk Measures
Issue Date: 2023
Journal: Axioms 
Abstract: In this paper, we calculate premiums that are based on the Conditional Tail Expectation (CTE) and asymmetric loss functions to account for the risk of both underestimation and overestimation losses. After selecting an appropriate loss function, the premium is calculated as the quantity minimizing an objective function related to the conditional tail expectation of the loss. The premium satisfies desirable properties, i.e., it is a coherent risk measure, and it helps the practitioner to quantify the global risk of the insurer. Finally, this methodology is applied to quantify the risks associated to the total claims amount that are modelled via composite models and comparisons with the usual risk measures, i.e., Value-at-Risk (VaR) and Tail Value-at-Risk (TVaR) are carried out.
ISSN: 2075-1680
DOI: 10.3390/axioms12050496
Source: Axioms [EISSN 2075-1680], v. 12 (5), 496, (Mayo 2023)
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