13 citations · 15 across the 4 of their papers we have counts for
3 papers · 1 filter
Insurance valuation: A two-step generalised regression approach
Karim Barigou, Valeria Bignozzi, Andreas Tsanakas
Current approaches to fair valuation in insurance often follow a two-step approach, combining quadratic hedging with application of a risk measure on the residual liability, to obt…
Large deviations for risk measures in finite mixture models
Valeria Bignozzi, Claudio Macci, Lea Petrella
Due to their heterogeneity, insurance risks can be properly described as a mixture of different fixed models, where the weights assigned to each model may be estimated empirically…
Risk measures with the CxLS property
Freddy Delbaen, Fabio Bellini, Valeria Bignozzi +1
In the present contribution we characterize law determined convex risk measures that have convex level sets at the level of distributions. By relaxing the assumptions in Weber (200…