Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/123721
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dc.contributor.authorCalderín Ojeda, Enrique Javieren_US
dc.contributor.authorGómez Déniz, Emilioen_US
dc.contributor.authorVázquez Polo, Francisco Joséen_US
dc.date.accessioned2023-06-23T08:44:41Z-
dc.date.available2023-06-23T08:44:41Z-
dc.date.issued2023en_US
dc.identifier.issn2075-1680en_US
dc.identifier.otherScopus-
dc.identifier.urihttp://hdl.handle.net/10553/123721-
dc.description.abstractIn 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.en_US
dc.languageengen_US
dc.relation.ispartofAxiomsen_US
dc.sourceAxioms [EISSN 2075-1680], v. 12 (5), 496, (Mayo 2023)en_US
dc.subject5302 Econometríaen_US
dc.subject.otherAsymmetric Loss Functionen_US
dc.subject.otherComposite Modelsen_US
dc.subject.otherLoss Distributionsen_US
dc.subject.otherPremium Calculationen_US
dc.subject.otherRisk Measuresen_US
dc.titleConditional tail expectation and premium calculation under asymmetric lossen_US
dc.typeinfo:eu-repo/semantics/Articleen_US
dc.typeArticleen_US
dc.identifier.doi10.3390/axioms12050496en_US
dc.identifier.scopus85160263812-
dc.contributor.orcid0000-0001-6364-627X-
dc.contributor.orcid0000-0002-5072-7908-
dc.contributor.orcid0000-0002-0632-6138-
dc.contributor.authorscopusid23479414700-
dc.contributor.authorscopusid15724912000-
dc.contributor.authorscopusid6602318225-
dc.identifier.eissn2075-1680-
dc.identifier.issue5-
dc.relation.volume12en_US
dc.investigacionCiencias Sociales y Jurídicasen_US
dc.type2Artículoen_US
dc.utils.revisionen_US
dc.date.coverdateMayo 2023en_US
dc.identifier.ulpgcen_US
dc.contributor.buulpgcBU-ECOen_US
dc.description.sjr0,388
dc.description.jcr2,0
dc.description.sjrqQ3
dc.description.jcrqQ2
dc.description.esciESCI
item.fulltextSin texto completo-
item.grantfulltextnone-
crisitem.author.deptGIR TIDES- Técnicas estadísticas bayesianas y de decisión en la economía y empresa-
crisitem.author.deptIU de Turismo y Desarrollo Económico Sostenible-
crisitem.author.deptDepartamento de Métodos Cuantitativos en Economía y Gestión-
crisitem.author.deptGIR TIDES- Técnicas estadísticas bayesianas y de decisión en la economía y empresa-
crisitem.author.deptIU de Turismo y Desarrollo Económico Sostenible-
crisitem.author.deptDepartamento de Métodos Cuantitativos en Economía y Gestión-
crisitem.author.deptGIR TIDES- Técnicas estadísticas bayesianas y de decisión en la economía y empresa-
crisitem.author.deptIU de Turismo y Desarrollo Económico Sostenible-
crisitem.author.deptDepartamento de Métodos Cuantitativos en Economía y Gestión-
crisitem.author.orcid0000-0002-5072-7908-
crisitem.author.orcid0000-0002-0632-6138-
crisitem.author.parentorgIU de Turismo y Desarrollo Económico Sostenible-
crisitem.author.parentorgIU de Turismo y Desarrollo Económico Sostenible-
crisitem.author.parentorgIU de Turismo y Desarrollo Económico Sostenible-
crisitem.author.fullNameCalderín Ojeda, Enrique Javier-
crisitem.author.fullNameGómez Déniz, Emilio-
crisitem.author.fullNameVázquez Polo, Francisco José-
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