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Sensitivity of risk measures with respect to the normal approximation of total claim distributions

Recurso electrónico / electronic resource
Registro MARC
Tag12Valor
LDR  00000cab a2200000 4500
001  MAP20110070465
003  MAP
005  20111214115507.0
008  111202e20111101gbr|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
100  ‎$0‎MAPA20110031084‎$a‎Krätschmer, V.
24500‎$a‎Sensitivity of risk measures with respect to the normal approximation of total claim distributions‎$c‎V. Krätschmer, H. Zähle
520  ‎$a‎A simple and commonly used method to approximate the total claim distribution of a (possibly weakly dependent) insurance collective is the normal approximation. ln this article, we investigate the error made when the normal approximation is plugged in a fairly general distribution-invariant risk measure. We focus on the rate of convergence of the error relative to the number of clients. We specify the relative error's asymptotic distribution, and we illustrate our results by means of a numerical example. Regarding the risk measure, we take into account distortion risk measures as well as distribution-invariant coherent risk measures.
650 1‎$0‎MAPA20080578114‎$a‎Seguro colectivo
650 1‎$0‎MAPA20080602437‎$a‎Matemática del seguro
650 1‎$0‎MAPA20080609429‎$a‎Aproximación matemática
650 1‎$0‎MAPA20080567118‎$a‎Reclamaciones
7730 ‎$w‎MAP20077100574‎$t‎Insurance : mathematics and economics‎$d‎Oxford : Elsevier, 1990-‎$x‎0167-6687‎$g‎01/11/2011 Tomo 49 Número 3 - 2011 , p. 335-344