Characterization theorems for mean value insurance premium calculation principle (Q390617)

Let \(X\) be a random variable representing the size of insurance compensation related to a particular insurance contract, and let \(\pi(X)\) be the premium to be paid for the risk \(X\). There are many premium calculation prin\-cip\-les. One of them is the mean value premium principle, which is based on some auxiliary function \(v\in C_2(\mathbb{R})\) such that \(v'(x)>0\) and \(v''(x)\geq 0\) for all \(x\in \mathbb{R}\). Mean value premium \(\pi(X)\) for the risk \(X\) is the solution of the equation \(v(\pi(X))=\mathbb{E}(v(X))\) with the function \(v\) from above.NEWLINENEWLINEThe authors consider additivity, consistency, iterativity and scale invariance of the mean value premium principle. The results are formulated in a form of necessary and sufficient conditions for the auxiliary function \(v\). The following assertion is typical for the paper.NEWLINENEWLINEThe mean value premium calculation principle possesses the additivity property, i.e. \(\pi(X_1+X_2)=\pi(X_1)+\pi(X_2)\) for any pair of independent risks \(X_1\) and \(X_2\), if and only if \(v(x)=ax+b\) with \( a>0\) or \(v(x)=\alpha e^{\beta x}+\gamma\) with \( \min\{\alpha,\beta\}>0\).