Insurance Premium Calculations with Anticipated Utility Theory

DOI10.2143/AST.31.1.992MaRDI QIDQ4461280zbMATH OpenFDO

Authors Cuncun Luan

Publication date 30 March 2004

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/AST.31.1.992

zbMATH Keywords

comonotonicitymean-value-distortion pricing principleoptimal reinsurancerisk aversion

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Characterization and structure theory of statistical distributions (62E10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Utility theory (91B16)

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• scientific article; zbMATH DE number 3844885

Cites work

• Anticipated utility: A measure representation approach
• Distorted probabilities and choice under risk
• scientific article; zbMATH DE number 3844885 (Why is no real title available?)
• scientific article; zbMATH DE number 3333061 (Why is no real title available?)
• Non-additive measure and integral
• On Stop-Loss Order and the Distortion Pricing Principle
• The Dual Theory of Choice under Risk

Cited in

(19)

• The concept of comonotonicity in actuarial science and finance: theory.
• A rank-dependent generalization of zero utility principle.
• Incorporating model uncertainty into optimal insurance contract design
• The premium as informational cue in insurance decision making
• Optimal insurance to maximize RDEU under a distortion-deviation premium principle
• A multivariate dependence measure for aggregating risks
• Equilibrium routing under uncertainty
• Pricing insurance contracts under cumulative prospect theory
• Additive consistency of risk measures and its application to risk-averse routing in networks
• Mixture utility in general insurance
• The economics of insurance: a review and some recent developments
• Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
• Disappointment aversion premium principle
• Ordered random vectors and equality in distribution
• Premium evaluation for different loss distributions using utility theory
• scientific article; zbMATH DE number 2099867 (Why is no real title available?)
• AN ITERATIVITY CONDITION FOR THE MEAN-VALUE PRINCIPLE UNDER CUMULATIVE PROSPECT THEORY
• The distortion principle for insurance pricing: properties, identification and robustness
• The tradeoff insurance premium as a two-sided generalisation of the distortion premium

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