Loss reserving using loss aversion functions | Macquarie University ResearchOnline

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Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.14/145673

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Title: Loss reserving using loss aversion functions
Related: Insurance, mathematics and economics, Vol. 45, No. 2, (2009), p.271-277
DOI: 10.1016/j.insmatheco.2009.07.005
Publisher: Elsevier BV
Date: 2009
FoR/RFCD Code(s): 010400 Statistics 140200 Applied Economics
Author/Creator: Choo, Weihao
Author/Creator: de Jong, Piet
Description: This article discusses the determination of risk capital based on “aversion” functions. Aversion functions weigh different outcomes according to perceived severity. Many practical and popular risk measures are usefully viewed in terms of aversion functions including those arising from distortion operators and risk margin loadings. The approach of this paper builds on, unifies, and extends existing disparate approaches discussed in the literature. Analytical and computer generated illustrations are given as well as suggestions for the practical determination of aversion functions.
Description: 7 page(s)
Subject Keyword: 010400 Statistics
Subject Keyword: 140200 Applied Economics
Subject Keyword: distortion operators
Subject Keyword: loss aversion
Subject Keyword: risk measure
Subject Keyword: percentile rank aversion
Subject Keyword: standard deviation principle
Subject Keyword: premium loading
Subject Keyword: Expected Maximum Loss
Resource Type: journal article
Organisation: Macquarie University. Dept. of Actuarial Studies

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