Claramunt Bielsa, M. MercèLefèvre, ClaudeLoisel, StéphaneMontesinos, Pierre2023-01-092024-11-012022-11-010167-6687https://hdl.handle.net/2445/191965This 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.17 p.application/pdfengcc-by-nc-nd (c) Elsevier B.V., 2022https://creativecommons.org/licenses/by-nc-nd/4.0/Risc (Assegurances)Funcions convexesIncertesaVariables aleatòriesRisk (Insurance)Convex functionsUncertaintyRandom variablesinfo:eu-repo/semantics/article7275232023-01-09info:eu-repo/semantics/openAccess