Conditional Tail Expectation and Premium Calculation under Asymmetric Loss
In this paper, we calculate premiums that are based on the Conditional Tail Expectation (CTE) and asymmetric loss functions to account for the risk of both underestimation and overestimation losses. After selecting an appropriate loss function, the premium is calculated as the quantity minimizing an...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-05-01
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| Series: | Axioms |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2075-1680/12/5/496 |