Restricted Coherent Risk Measures and Actuarial Solvency

Restricted Coherent Risk Measures and Actuarial Solvency

We prove a general dual representation form for restricted coherent risk measures, and we apply it to a minimization problem of the required solvency capital for an insurance company.

Bibliographic Details
Main Author: Christos E. Kountzakis
Format: Article
Language:English
Published: Asia University 2012-01-01
Series:Advances in Decision Sciences
Online Access:http://dx.doi.org/10.1155/2012/350765
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spelling doaj-6d82521a92b24f299d9b7f8d651e606b2020-11-25T02:34:21ZengAsia UniversityAdvances in Decision Sciences2090-33592090-33672012-01-01201210.1155/2012/350765350765Restricted Coherent Risk Measures and Actuarial SolvencyChristos E. Kountzakis0Department of Statistics and Actuarial-Financial Mathematics, University of the Aegean, Samos, 83200 Karlovassi, GreeceWe prove a general dual representation form for restricted coherent risk measures, and we apply it to a minimization problem of the required solvency capital for an insurance company.http://dx.doi.org/10.1155/2012/350765
collection DOAJ
language English
format Article
sources DOAJ
author Christos E. Kountzakis
spellingShingle Christos E. Kountzakis
Restricted Coherent Risk Measures and Actuarial Solvency
Advances in Decision Sciences
author_facet Christos E. Kountzakis
author_sort Christos E. Kountzakis
title Restricted Coherent Risk Measures and Actuarial Solvency
title_short Restricted Coherent Risk Measures and Actuarial Solvency
title_full Restricted Coherent Risk Measures and Actuarial Solvency
title_fullStr Restricted Coherent Risk Measures and Actuarial Solvency
title_full_unstemmed Restricted Coherent Risk Measures and Actuarial Solvency
title_sort restricted coherent risk measures and actuarial solvency
publisher Asia University
series Advances in Decision Sciences
issn 2090-3359
2090-3367
publishDate 2012-01-01
description We prove a general dual representation form for restricted coherent risk measures, and we apply it to a minimization problem of the required solvency capital for an insurance company.
url http://dx.doi.org/10.1155/2012/350765
work_keys_str_mv AT christosekountzakis restrictedcoherentriskmeasuresandactuarialsolvency
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