On Characterization of Distortion Premium Principle

DOI10.2143/AST.33.1.1035MaRDI QIDQ4661669zbMATH OpenOpenAlexFDO

Authors Xianyi Wu, Jing-Long Wang

Publication date 30 March 2005

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.33.1.1035

zbMATH Keywords

Choquet integralcomonotonicitydistortion premium principlenon-additive measure

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• A new characterization of distortion premiums via countable additivity for comonotonic risks
• Risk measures and insurance premium principles.
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Cites work

• The Dual Theory of Choice under Risk

Cited in

(14)

• Risk measures and insurance premium principles.
• A decomposition of general premium principles into risk and deviation
• A comonotonic image of independence for additive risk measures
• A new characterization of distortion premiums via countable additivity for comonotonic risks
• The uncertain premium principle based on the distortion function
• The role of a representative reinsurer in optimal reinsurance
• Optimal reinsurance with multiple reinsurers: distortion risk measures, distortion premium principles, and heterogeneous beliefs
• A premium principle based on the g-integral
• Premiums and reserves, adjusted by distortions
• Choquet integral representation of premium functional and related properties on capacity spaces
• On the characterization of premium principle with respect to pointwise comonotonicity
• Characterization of convex premium principles
• On the use of capacities in representing premium calculation principles
• The distortion principle for insurance pricing: properties, identification and robustness

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