{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,10,11]],"date-time":"2025-10-11T02:11:07Z","timestamp":1760148667887,"version":"build-2065373602"},"reference-count":25,"publisher":"MDPI AG","issue":"5","license":[{"start":{"date-parts":[[2023,5,19]],"date-time":"2023-05-19T00:00:00Z","timestamp":1684454400000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"funder":[{"name":"Ministerio de Econom\u00eda y Competitividad, Spain","award":["PID2021-127989OB-I00"],"award-info":[{"award-number":["PID2021-127989OB-I00"]}]},{"name":"Ministerio de Universidades","award":["PID2021-127989OB-I00"],"award-info":[{"award-number":["PID2021-127989OB-I00"]}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Axioms"],"abstract":"<jats:p>In this paper, we calculate premiums that are based on the Conditional Tail Expectation (CTE) and asymmetric loss functions to account for the risk of both underestimation and overestimation losses. After selecting an appropriate loss function, the premium is calculated as the quantity minimizing an objective function related to the conditional tail expectation of the loss. The premium satisfies desirable properties, i.e., it is a coherent risk measure, and it helps the practitioner to quantify the global risk of the insurer. Finally, this methodology is applied to quantify the risks associated to the total claims amount that are modelled via composite models and comparisons with the usual risk measures, i.e., Value-at-Risk (VaR) and Tail Value-at-Risk (TVaR) are carried out.<\/jats:p>","DOI":"10.3390\/axioms12050496","type":"journal-article","created":{"date-parts":[[2023,5,19]],"date-time":"2023-05-19T10:08:55Z","timestamp":1684490935000},"page":"496","update-policy":"https:\/\/doi.org\/10.3390\/mdpi_crossmark_policy","source":"Crossref","is-referenced-by-count":4,"title":["Conditional Tail Expectation and Premium Calculation under Asymmetric Loss"],"prefix":"10.3390","volume":"12","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-6364-627X","authenticated-orcid":false,"given":"Enrique","family":"Calder\u00edn-Ojeda","sequence":"first","affiliation":[{"name":"Centre for Actuarial Studies, University of Melbourne, Melbourne, VIC 3010, Australia"},{"name":"Department of Quantitative Methods in Economics and TIDES Institute, University of Las Palmas de Gran Canaria, 35017 Las Palmas de Gran Canaria, Spain"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-5072-7908","authenticated-orcid":false,"given":"Emilio","family":"G\u00f3mez-D\u00e9niz","sequence":"additional","affiliation":[{"name":"Department of Quantitative Methods in Economics and TIDES Institute, University of Las Palmas de Gran Canaria, 35017 Las Palmas de Gran Canaria, Spain"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-0632-6138","authenticated-orcid":false,"given":"Francisco J.","family":"V\u00e1zquez-Polo","sequence":"additional","affiliation":[{"name":"Department of Quantitative Methods in Economics and TIDES Institute, University of Las Palmas de Gran Canaria, 35017 Las Palmas de Gran Canaria, Spain"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"1968","published-online":{"date-parts":[[2023,5,19]]},"reference":[{"key":"ref_1","doi-asserted-by":"crossref","first-page":"203","DOI":"10.1111\/1467-9965.00068","article-title":"Coherent measures of risk","volume":"9","author":"Artzner","year":"1999","journal-title":"Math. 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