2026-04-13T02:24:15Zhttps://recercat.cat/oai/request

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

00925njm 22002777a 4500 dc Claramunt Bielsa, M. Mercè author Lefèvre, Claude author Loisel, Stéphane author Montesinos, Pierre author 2023-01-09T10:09:00Z 2024-11-01T06:10:06Z 2022-11-01 2023-01-09T10:09:00Z 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. Risc (Assegurances) Funcions convexes Incertesa Variables aleatòries Risk (Insurance) Convex functions Uncertainty Random variables Basis risk management and randomly scaled uncertainty