scholarly journals Optimal premium allocation under stop-loss insurance using exposure curves

2021 ◽  
pp. 1-20
Author(s):  
Özenç Murat MERT ◽  
Sevtap SELCUK-KESTEL
Keyword(s):  
Stop Loss

Stop-Loss Strategies and National Pension Fund Active-Risk Management in Korean Stocks

2018 ◽  
Vol 31 (4) ◽  
pp. 477-519
Author(s):  
Daeil Kang ◽  
◽  
Jong-Ho Park ◽  
Kyong Shik Eom
Keyword(s):  
Risk Management ◽  
Pension Fund ◽  
Stop Loss

Do Stop-loss Rules Add Value in International Equity Market Allocation?

2020 ◽  
Author(s):  
Bochuan Dai ◽  
Ben R. Marshall ◽  
Nhut H. Nguyen ◽  
Nuttawat Visaltanachoti
Keyword(s):  
Equity Market ◽  
International Equity ◽  
Market Allocation ◽  
Stop Loss

Approximation of sums by compound Poisson distributions with respect to stop-loss distances

1990 ◽  
Vol 22 (2) ◽  
pp. 350-374 ◽  
Author(s):  
S. T. Rachev ◽  
L. Rüschendorf
Keyword(s):  
Random Variables ◽  
Independent Random Variables ◽  
Compound Poisson ◽  
Poisson Distributions ◽  
Stop Loss ◽  
Scale Transformations

The approximation of sums of independent random variables by compound Poisson distributions with respect to stop-loss distances is investigated. These distances are motivated by risk-theoretic considerations. In contrast to the usual construction of approximating compound Poisson distributions, the method suggested in this paper is to fit several moments. For two moments, this can be achieved by scale transformations. It is shown that the new approximations are more stable and improve the usual approximations by accompanying laws in examples where the probability 1 – pi that the ith summand is zero is not too large.

A note on stop-loss premiums

1993 ◽  
Vol 12 (1) ◽  
pp. 70
Author(s):  
P.P. Boyle ◽  
D.J. Nye
Keyword(s):  
Stop Loss
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