Hostname: page-component-7bb8b95d7b-qxsvm Total loading time: 0 Render date: 2024-09-18T05:50:55.725Z Has data issue: false hasContentIssue false
  • English
  • Français

A Risk Measure Alternative to the Variance

Published online by Cambridge University Press:  29 August 2014

B. Berliner
Rights & Permissions [Opens in a new window]

Summary

Core share and HTML view are not available for this content. However, as you have access to this content, a full PDF is available via the ‘Save PDF’ action button.

The qualifications of the semivariance as a useful risk measure are examined and compared to those of the variance. Although on first sight the semivariance may seem more appropriate from the insured's point of view the analysis of this paper leads to a preference for the variance as a risk measure.

Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 9 , Issue 1-2 , January 1977 , pp. 42 - 58
Copyright
Copyright © International Actuarial Association 1977

References

[1]Beard, R. E., Pentikainen, T., and Pesonen, E., Risk Theory, Methuen & Co Ltd., 1969, p. 41, 42.Google Scholar
[2]Benktander, G., The Calculation of a Fluctuation Loading for an Excess of Loss Cover, presented at ASTIN Colloquium in Turku, 1974, to be published.Google Scholar
[3]Benktander, G., On the Rating of a Special Stop Loss Cover, presented at ASTIN Colloquium in Turku, 1974, to be published.Google Scholar
[4]Benktander, G., Some Aspects on Reinsurance Profits and Loadings, ASTIN Bulletin Vol. V, Part 3.Google Scholar
[5]Benktander, G., A Note on Profit Margin and Insurance Market Capacity, Mitteilungen der Vereinigung Schweizerischer Versicherungsmathematiker, Vol. 70, Nr. 1, 1970.Google Scholar
[6]Berliner, B., On the Choice of Risk Loadings, to be presented at the 20th International Congress of Actuaries in Tokyo, 1976.Google Scholar
[7]Berliner, B., Some Thoughts on (Re)insurance Loadings under a Ruin Criterion, Scandinavian Actuarial Journal, 1974, p. 78.Google Scholar
[8]Jr.Bowers, N. L., An Upper Bound on the Stop Loss Net Premium, Society of Actuaries Transactions, Vol. XXI, Part I, 1969.Google Scholar
[9]Gerber, H., On Additive Premium Calculation Principles, ASTIN Bulletin Vol. VII, Part 3.Google Scholar
[10]Markowitz, H., Portfolio Selection, Cowles Foundation for Research in Economics at Yale University, 1959, p. 188–201.Google Scholar
[11]Schneeweiss, H., Entscheidungskriterien bei Risiko, Springer-Verlag, 1967. p. 57.CrossRefGoogle Scholar
[12]van der Waerden, B. L., Mathematische Statistik, Springer-Verlag. 1965, 2. Auflage, p. 57.CrossRefGoogle Scholar