2026-04-13T07:39:23Zhttps://recercat.cat/oai/request

oai:recercat.cat:2445/1919652025-12-05T05:56:41Zcom_2072_1057col_2072_478917col_2072_478919

urn:hdl:2445/191965 Basis risk management and randomly scaled uncertainty Claramunt Bielsa, M. Mercè Lefèvre, Claude Loisel, Stéphane Montesinos, Pierre Risc (Assegurances) Funcions convexes Incertesa Variables aleatòries Risk (Insurance) Convex functions Uncertainty Random variables This paper proposes a method for quantifying the basis risk present in index-based insurance. It applies when the inherent uncertainty is represented by a randomly scaled variable. This turns out to be a reasonable assumption in a number of practical situations. Several properties of such a variable are first briefly studied. Their order in the s-convex sense is discussed and the associated extreme distributions are obtained to generate the worst situations. In each scenario, the basis risk consequences are then assessed using a penalty function that takes into account the risk tolerances of the protection buyer. Basis risk limits for a fixed budget can also be set. The proposed approach is illustrated by a few simple examples. 2023-01-09T10:09:00Z 2024-11-01T06:10:06Z 2022-11-01 2023-01-09T10:09:00Z info:eu-repo/semantics/article info:eu-repo/semantics/acceptedVersion Versió postprint del document publicat a: https://doi.org/10.1016/j.insmatheco.2022.08.005 Insurance Mathematics and Economics, 2022, vol. 107, p. 123-139 https://doi.org/10.1016/j.insmatheco.2022.08.005 cc-by-nc-nd (c) Elsevier B.V., 2022 https://creativecommons.org/licenses/by-nc-nd/4.0/ info:eu-repo/semantics/openAccess Elsevier B.V. Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial)