Premium Calculation for Fat-tailed Risk

ASTIN Bulletin

Volumn 35, Issue 1, 2005, Pages 163-188

  Gay, Roger ^a  

^a MONASH UNIVERSITY   (Australia)

Author keywords

constant risk aversion; expected value of extremes; Exponential principle; power principle; tail index uncertainty

Indexed keywords

EID: 85011484638     PISSN: 05150361     EISSN: 17831350     Source Type: Journal    
DOI: 10.1017/S0515036100014112     Document Type: Article

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