The distortion principle for insurance pricing: properties, identification and robustness (Q827147)

Let \(\mathcal{X}(\Omega,\mathcal{F},\mathbb{P})\) be a set of nonnegative random loss variables defined on a probability space \( (\Omega,\mathcal{F},\mathbb{P})\). An insurance premium \(\pi\) is a functional defined on \(\mathcal{X}(\Omega,\mathcal{F},\mathbb{P})\) with values in the set of real positive numbers \(\mathbb{R}_+\). There are many ways to construct premiums with suitable properties. Authors of the paper consider the distortion principle, the certainty equivalence principle and the ambiguity principle for the premium calculation together with the properties of premiums derived by using the mentioned principles.