Loss reserving using loss aversion functions

Weihao Choo, Piet de Jong*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

6 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)271-277
Number of pages7
JournalInsurance: Mathematics and Economics
Volume45
Issue number2
DOIs
Publication statusPublished - Oct 2009

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