基于累积残差熵和失真函数的可变性测量系列

IF 1.9 2区经济学 Q2 ECONOMICS

Insurance Mathematics & Economics Pub Date : 2023-12-13 DOI:10.1016/j.insmatheco.2023.12.002

Georgios Psarrakos , Abdolsaeed Toomaj , Polyxeni Vliora

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引用次数: 0

摘要

变异度量是构建溢价原则和风险规避的重要工具。在本文中，我们提出了基于扭曲加权累积残差熵的此类度量系列，并对扭曲风险度量进行了敏感性分析。对于这个系列，我们获得了其特性、与其他度量的联系、协方差表示以及一些有用的解释。此外，我们还探讨了基于贝塔生成分布的溢价原则的应用，并给出了经验估算。我们还提供了界限和数值说明。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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A family of variability measures based on the cumulative residual entropy and distortion functions

Variability measures are important tools in the construction of premium principles and risk aversions. In this paper, we propose a family of such measures based on a distorted weighted cumulative residual entropy, which follows by a sensitivity analysis of distortion risk measures. For this family, we obtain properties, connections with other measures, a covariance representation, and some useful interpretations. Furthermore, we explore an application on premium principles based on beta generated distributions, and we give an empirical estimation. We also provide bounds and numerical illustrations.

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来源期刊

Insurance Mathematics & Economics 管理科学-数学跨学科应用

CiteScore

3.40

自引率

15.80%

发文量

审稿时长

17.3 weeks

期刊介绍： Insurance: Mathematics and Economics publishes leading research spanning all fields of actuarial science research. It appears six times per year and is the largest journal in actuarial science research around the world. Insurance: Mathematics and Economics is an international academic journal that aims to strengthen the communication between individuals and groups who develop and apply research results in actuarial science. The journal feels a particular obligation to facilitate closer cooperation between those who conduct research in insurance mathematics and quantitative insurance economics, and practicing actuaries who are interested in the implementation of the results. To this purpose, Insurance: Mathematics and Economics publishes high-quality articles of broad international interest, concerned with either the theory of insurance mathematics and quantitative insurance economics or the inventive application of it, including empirical or experimental results. Articles that combine several of these aspects are particularly considered.