Date: Friday, March 22

Session: 96

ASTIN  

Werner Hürlimann curriculum

Switzerland

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Paper
     On Risk and Price: Stochastic Orderings and Measures   
 
 

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Summary

Following the axiomatic approach to measures of statistical quantities initiated by van Zwet (1964) and developed by several other authors, we present a general axiomatic system for the measure of the quantities risk and price. We argue that risk and insurance price are closely related through the notion of risk loading, viewed as function of the measure of risk, and that risk should be closely related to the measures of scale, skewness and kurtosis. We consider "universal" measures of scale and risk, which can be adjusted for skewness and kurtosis. Concerning the measure of price, the distortion pricing principle introduced by Denneberg (1990), studied further by Wang (1996a/b), and justified axiomatically as insurance price in a competitive market setting by Wang et al.(1997), is a measure of price for our more general axiomatic system. Our presentation includes numerous examples, some of which have so far not been encountered in actuarial science.

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 Werner Hürlimann

Curriculum

Werner Hürlimann, born 1953, has studied mathematics and physics at ETHZ, where he obtained his PhD in 1980 with a thesis in algebra.

After postdoctoral fellowhips at Yale University and at the Max Planck Institute in Bonn he became 1984 an actuary at Winterthur Life and Pensions. He has been visiting associate professor in actuarial science at the University of Toronto during the academic year 1988-89. He has written more than hundred papers, published in refereed journals or presented at International Colloquia. 

His current interests in Actuarial Science and Finance encompass Multivariate Models of Risk Management, Portfolio Theory, Pricing Theoy, Ordering of Risks, etc.

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