Please use this identifier to cite or link to this item:
http://hdl.handle.net/2445/191965
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Claramunt Bielsa, M. Mercè | - |
dc.contributor.author | Lefèvre, Claude | - |
dc.contributor.author | Loisel, Stéphane | - |
dc.contributor.author | Montesinos, Pierre | - |
dc.date.accessioned | 2023-01-09T10:09:00Z | - |
dc.date.issued | 2022-11-01 | - |
dc.identifier.issn | 0167-6687 | - |
dc.identifier.uri | http://hdl.handle.net/2445/191965 | - |
dc.description.abstract | This paper proposes a method for quantifying the basis risk present in index-based insurance. It applies when the inherent uncertainty is represented by a randomly scaled variable. This turns out to be a reasonable assumption in a number of practical situations. Several properties of such a variable are first briefly studied. Their order in the s-convex sense is discussed and the associated extreme distributions are obtained to generate the worst situations. In each scenario, the basis risk consequences are then assessed using a penalty function that takes into account the risk tolerances of the protection buyer. Basis risk limits for a fixed budget can also be set. The proposed approach is illustrated by a few simple examples. | - |
dc.format.extent | 17 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | - |
dc.publisher | Elsevier B.V. | - |
dc.relation.isformatof | Versió postprint del document publicat a: https://doi.org/10.1016/j.insmatheco.2022.08.005 | - |
dc.relation.ispartof | Insurance Mathematics and Economics, 2022, vol. 107, p. 123-139 | - |
dc.relation.uri | https://doi.org/10.1016/j.insmatheco.2022.08.005 | - |
dc.rights | cc-by-nc-nd (c) Elsevier B.V., 2022 | - |
dc.rights.uri | https://creativecommons.org/licenses/by-nc-nd/4.0/ | - |
dc.source | Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial) | - |
dc.subject.classification | Risc (Assegurances) | - |
dc.subject.classification | Funcions convexes | - |
dc.subject.classification | Incertesa | - |
dc.subject.classification | Variables aleatòries | - |
dc.subject.other | Risk (Insurance) | - |
dc.subject.other | Convex functions | - |
dc.subject.other | Uncertainty | - |
dc.subject.other | Random variables | - |
dc.title | Basis risk management and randomly scaled uncertainty | - |
dc.type | info:eu-repo/semantics/article | - |
dc.type | info:eu-repo/semantics/acceptedVersion | - |
dc.identifier.idgrec | 727523 | - |
dc.date.updated | 2023-01-09T10:09:00Z | - |
dc.rights.accessRights | info:eu-repo/semantics/embargoedAccess | - |
dc.embargo.lift | 2024-11-01 | - |
dc.date.embargoEndDate | info:eu-repo/date/embargoEnd/2024-11-01 | - |
Appears in Collections: | Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial) |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
727523.pdf | 343.24 kB | Adobe PDF | View/Open Request a copy |
Document embargat fins el
1-11-2024
This item is licensed under a
Creative Commons License