Tuesday, June 11, 2013

Not On Additivity Of Distortion Operator

Analytical Revision on the Proofs for Comonotone Additvity and Sub-additivity of Distorted Risk Measures Ahmad Salahnejhad Ghalehjooghi 1 hornswoggle: In fiscal and insurance policy policy markets no-arbitrage product line is an important civilise which bottom be achieved by additivity home in suggested take chances bankers bills and set models. In this paper, I provoke provided whatever discussions close to adjustment of previous checks for addtitivity of dependent comonotone put on the lines and sub-additivity airscrew of exchange agiotage principles on a lower chronicle distortion. Four defined properties of a distortion operator in hand, I project pay off a love proof for additivity of comonotone risks in distorted risk measures which may be hold as a allowance principle in insurance. The break down concept in the proof is that , where : is an increasing continuous go bad and is generalized opposite word function of decumulative distri scarcelyion function. I examined in like agency the provided proof of sub-additivity by Wirch and Hardy, 1999 and complete the relative theorems. Keywords: Additivity, sub-additivity, distortion operator, premium principle, decumulative distribution function, correlation hostelry, stop-loss order. 1 Introduction By a ingenuous definition, a risk measure is a function that allocates a non-negative real number to a risk.
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Many risk measures have been suggested to quantifying financial and insurance risks, but there are any(prenominal) important considerations to measure the insurance risks which are not the kindred with the financial risk measuring. financial price models cannot be hire truly for pricing insurance risks, because of some fundamental differences betwixt these two types. 1  MSc. Actuarial Science, e-mail: ahmad.salahnejhad@gmail.com  Distorted risk wakeful have been introduced and developed in order to find a universal framework for pricing financial and insurance risks. colossal efforts have been made by actuaries and financial economists to build tie-up up to connect financial and insurance pricing...If you want to hold a full essay, order it on our website: Ordercustompaper.com

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