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An actuarial index of the right-tail risk. (English) Zbl 1081.62570

Summary: A common characteristic for many insurance risks is the right-tail risk, representing low-frequency, large-loss events. In this paper I propose a measure of the right-tail risk by defining the right-tail deviation and the right-tail index. I explain how the right-tail deviation measures the right-tail risk and compare it to traditional measures such as standard deviation, the Gini mean, and the expected policyholder deficit. The right-tail index is applied to some common parametric families of loss distributions.

MSC:

62P05 Applications of statistics to actuarial sciences and financial mathematics
62E15 Exact distribution theory in statistics
91B30 Risk theory, insurance (MSC2010)
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