Pricing insurance contracts under cumulative prospect theory (Q2427822): Difference between revisions

In the paper, a new premium principle is introduced. This premium principle is based on Cumulative Prospect Theory by \textit{D. Kahneman} and \textit{A. Tversky}, [Econometrica 47, 313--327 (1979; Zbl 0411.90012)]. The various properties of this new premium principle are examined in the text.

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reviewed by

Jonas Šiaulys

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zbMATH Keywords

cumulative prospect theory

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premium principle

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non-expected utility

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.insmatheco.2011.11.001

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cites work

Non-additive measure and integral

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Parametric weighting functions

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Q3868650

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On additive principles of zero utility

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A note on additive risk measures in rank-dependent utility

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A comonotonic image of independence for additive risk measures

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A rank-dependent generalization of zero utility principle.

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Q5439382

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Q3411977

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The Probability Weighting Function

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Third-generation prospect theory

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Linear cumulative prospect theory with applications to portfolio selection and insurance demand

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Anticipated utility: A measure representation approach

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To split or not to split: Capital allocation with convex risk measures

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Advances in prospect theory: cumulative representation of uncertainty

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A class of non-expected utility risk measures and implications for asset allocations

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Prospect Theory

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Insurance pricing and increased limits ratemaking by proportional hazards transforms

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Identifiers

zbMATH Open document ID

1239.91080

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DOI

10.1016/j.insmatheco.2011.11.001

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2427822

@@ Property / author @@
+Marek Kaluszka
@@ Property / author: Marek Kaluszka / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.insmatheco.2011.11.001
+Normal rank
@@ Property / OpenAlex ID @@
+W2051712401
@@ Property / OpenAlex ID: W2051712401 / rank @@
+Normal rank
@@ Property / cites work @@
+Non-additive measure and integral
@@ Property / cites work: Non-additive measure and integral / rank @@
+Normal rank
@@ Property / cites work @@
+Parametric weighting functions
@@ Property / cites work: Parametric weighting functions / rank @@
+Normal rank
@@ Property / cites work @@
+Q3868650
@@ Property / cites work: Q3868650 / rank @@
+Normal rank
@@ Property / cites work @@
+On additive principles of zero utility
@@ Property / cites work: On additive principles of zero utility / rank @@
+Normal rank
@@ Property / cites work @@
+A note on additive risk measures in rank-dependent utility
+Normal rank
@@ Property / cites work @@
+A comonotonic image of independence for additive risk measures
+Normal rank
@@ Property / cites work @@
+A rank-dependent generalization of zero utility principle.
+Normal rank
@@ Property / cites work @@
+Q5439382
@@ Property / cites work: Q5439382 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3411977
@@ Property / cites work: Q3411977 / rank @@
+Normal rank
@@ Property / cites work @@
+The Probability Weighting Function
@@ Property / cites work: The Probability Weighting Function / rank @@
+Normal rank
@@ Property / cites work @@
+Third-generation prospect theory
@@ Property / cites work: Third-generation prospect theory / rank @@
+Normal rank
@@ Property / cites work @@
+Linear cumulative prospect theory with applications to portfolio selection and insurance demand
+Normal rank
@@ Property / cites work @@
+Anticipated utility: A measure representation approach
+Normal rank
@@ Property / cites work @@
+To split or not to split: Capital allocation with convex risk measures
+Normal rank
@@ Property / cites work @@
+Advances in prospect theory: cumulative representation of uncertainty
+Normal rank
@@ Property / cites work @@
+A class of non-expected utility risk measures and implications for asset allocations
+Normal rank
@@ Property / cites work @@
+Prospect Theory
@@ Property / cites work: Prospect Theory / rank @@
+Normal rank
@@ Property / cites work @@
+Insurance pricing and increased limits ratemaking by proportional hazards transforms
+Normal rank