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Si us plau utilitzeu sempre aquest identificador per citar o enllaçar aquest document: https://hdl.handle.net/2445/191965
Basis risk management and randomly scaled uncertainty
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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.
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CLARAMUNT BIELSA, M. mercè, LEFÈVRE, Claude, LOISEL, Stéphane, MONTESINOS, Pierre. Basis risk management and randomly scaled uncertainty. _Insurance Mathematics and Economics_. 2022. Vol. 107, núm. 123-139. [consulta: 9 de gener de 2026]. ISSN: 0167-6687. [Disponible a: https://hdl.handle.net/2445/191965]