Zobrazeno 1 - 10
of 144
pro vyhledávání: '"Tsanakas, Andreas"'
In this paper, we study the risk sharing problem among multiple agents using Lambda Value-at-Risk as their preference functional, under heterogeneous beliefs, where beliefs are represented by several probability measures. We obtain semi-explicit form
Externí odkaz:
http://arxiv.org/abs/2408.03147
Differential sensitivity measures provide valuable tools for interpreting complex computational models used in applications ranging from simulation to algorithmic prediction. Taking the derivative of the model output in direction of a model parameter
Externí odkaz:
http://arxiv.org/abs/2310.06151
Indirect discrimination is an issue of major concern in algorithmic models. This is particularly the case in insurance pricing where protected policyholder characteristics are not allowed to be used for insurance pricing. Simply disregarding protecte
Externí odkaz:
http://arxiv.org/abs/2209.00858
In applications of predictive modeling, such as insurance pricing, indirect or proxy discrimination is an issue of major concern. Namely, there exists the possibility that protected policyholder characteristics are implicitly inferred from non-protec
Externí odkaz:
http://arxiv.org/abs/2207.02799
Publikováno v:
In European Journal of Operational Research 1 November 2024 318(3):851-866
Publikováno v:
ASTIN Bull. 52 (2022) 211-245
Current approaches to fair valuation in insurance often follow a two-step approach, combining quadratic hedging with application of a risk measure on the residual liability, to obtain a cost-of-capital margin. In such approaches, the preferences repr
Externí odkaz:
http://arxiv.org/abs/2012.04364
Akademický článek
Tento výsledek nelze pro nepřihlášené uživatele zobrazit.
K zobrazení výsledku je třeba se přihlásit.
K zobrazení výsledku je třeba se přihlásit.
Autor:
Fahrenwaldt, Matthias, Furrer, Christian, Hiabu, Munir Eberhardt, Huang, Fei, Jørgensen, Frederik Hytting, Lindholm, Mathias, Loftus, Joshua, Steffensen, Mogens, Tsanakas, Andreas
Publikováno v:
European Actuarial Journal; Aug2024, Vol. 14 Issue 2, p317-328, 12p
Publikováno v:
European Actuarial Journal; Aug2024, Vol. 14 Issue 2, p329-369, 41p
Publikováno v:
In Insurance Mathematics and Economics September 2021 100:372-383