Conditional tail expectation and premium calculation

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<dc:creator>Heras, Antonio</dc:creator>
<dc:creator>Balbás, Beatriz</dc:creator>
<dc:creator>Vilar, José Luis</dc:creator>
<dc:date>2012-05-07</dc:date>
<dc:description xml:lang="es">Sumario: In this paper we calculate premiums which are based on the minimization of the Expected Tail Loss or Conditional Tail Expectation (CTE) of absolute loss functions. The methodology generalizes well known premium calculation procedures and gives sensible results in practical applications. The choice of the absolute loss becomes advisable in this context since its CTE is easy to calculate and to understand in intuitive terms. The methodology also can be applied to the calculation of the VaR and CTE of the loss associated with a given premium.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/138806.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Primas de seguros</dc:subject>
<dc:subject xml:lang="es">Cálculo de la prima</dc:subject>
<dc:subject xml:lang="es">Métodos de cálculo</dc:subject>
<dc:subject xml:lang="es">Matemática del seguro</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Conditional tail expectation and premium calculation</dc:title>
<dc:relation xml:lang="es">En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 07/05/2012 Volumen 42 Número 1  - mayo 2012 , p. 325-342</dc:relation>
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