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2022-11-01

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cc-by-nc-nd (c) Elsevier B.V., 2022
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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Recurs relacionat

https://doi.org/10.1016/j.insmatheco.2022.08.005

Resum

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.

Matèries

Risc (Assegurances), Funcions convexes, Incertesa, Variables aleatòries

Matèries (anglès)

Risk (Insurance), Convex functions, Uncertainty, Random variables

Citació

Col·leccions

Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial)

Citació

CLARAMUNT BIELSA, M. Mercè, et al. Basis risk management and randomly scaled uncertainty. Insurance Mathematics and Economics. 2022. Vol. 107, num. 123-139. ISSN 0167-6687. [consulted: 26 of May of 2026]. Available at: https://hdl.handle.net/2445/191965

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