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Weighted Pricing Functionals
weighted pricing functional piw : X → [0,∞], see Table 2.1. Actuarial pricing functionals w(x) piw[X] ... x1{x ≥ xp} E[X|X ≥ xp] +Var[X|X ≥ xp]/E[X|X ≥ xp] Table 2.1. Examples of the actuarial weighted pricing ...- Authors: Edward Furman, Ricardas Zitikis
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Economic capital; Finance & Investments>Risk measurement - Finance & Investments