On the use of capacities in representing premium calculation principles (Q698355)

Let \(({\mathcal S},\Sigma)\) be a measurable space and \(V\) be a set of bounded, non-negative valued, \(\Sigma\)-measurable functions on \({\mathcal S}\). \(V\) is assumed to be closed under certain operations: \[ \forall X, Y\in V \;\forall a\in{\mathbb{R}}_+:\quad aX, X\wedge a, X-X\wedge a, X+Y\in V. \] Moreover the indicator of \({\mathcal S}\) belongs to \(V\). The elements of \(V\) are interpreted as claims derived from insurance contracts. Each premium principle \(H\) is defined as a real function on \(V\). First, the authors gave an overview of different properties for the premium principles: compatibility property, no-ripoff condition, monotonicity, no unjustified loading, translation invariance, proportionality, continuity, sub-additivity, comonotone-additivity, weak comonotone-additivity, and layer-additivity. Thereafter they proved three representation theorems for premium principles satisfying some of the above properties. These theorems are comparable with results by \textit{D. Schmeidler} [Econometrica 57, 571-587 (1989; Zbl 0672.90011)] and \textit{M. E. Yaari} [Econometrica 55, 95-115 (1987; Zbl 0616.90005)] and are directly connected with the Choquet integral.