3. Notion of risk measurement
A related but more general notion to that of premium calculation principle is that of risk measure, defined as an application of the set of risks with values in . For a risk X, ρ(X) can represent the technical premium to cover the risk, so that all the premium calculation principles presented above are possible risk measures....
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Notion of risk measurement
Collective model
Bibliography
- (1) - ABRAMOBITZ (M.), STEGUN (I.A.) - Handbook of Mathematical Functions – Formulas, Graphs and Mathematical Tables. - National Bureau of Standards Applied Mathematical Series, # 55 (10e réimpression en décembre 1972, Version téléchargeable disponible), Juin 1964.
- (2) - ARTZNER (Ph.), DELBAEN (F.),...
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