英文标题：
《The distortion principle for insurance pricing: properties,
identification and robustness》
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作者：
Daniela Escobar and Georg Pflug
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最新提交年份：
2018
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英文摘要：
Distortion (Denneberg 1990) is a well known premium calculation principle for insurance contracts. In this paper, we study sensitivity properties of distortion functionals w.r.t. the assumptions for risk aversion as well as robustness w.r.t. ambiguity of the loss distribution. Ambiguity is measured by the Wasserstein distance. We study variances of distances for probability models and identify some worst case distributions. In addition to the direct problem we also investigate the inverse problem, that is how to identify the distortion density on the basis of observations of insurance premia.
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中文摘要：
扭曲（Denneberg 1990）是保险合同中众所周知的保费计算原则。在本文中，我们研究了失真泛函w.r.t.的敏感性性质、风险规避假设以及损失分布的鲁棒性w.r.t.模糊性。模糊度由瓦瑟斯坦距离来衡量。我们研究了概率模型的距离方差，并确定了一些最坏情况分布。除了直接问题外，我们还研究了逆问题，即如何根据保险费的观测值识别畸变密度。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Statistics 统计学
二级分类：Other Statistics 其他统计数字
分类描述：Work in statistics that does not fit into the other stat classifications
从事不适合其他统计分类的统计工作
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