Properties of premium calculation principles
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All theoretical premium principles, which use a utility function (such as exponential principle, mean value principle, zero utility principle, Swiss premium calculation principle Orlicz principle, Esscher principle) are analyzed in the light of practical properties such as homogeneity (as usual for quota shares) and sub-additivity. It is proved that a theoretical premium principle, which fulfills only very weakened forms of both practical properties, reduces necessarily to the net premium principle. Therefore it is impossible that the principles and the properties above are reasonable simultaneously.
Recommendations
Cites work
- A new premium calculation principle based on Orlicz norms
- scientific article; zbMATH DE number 3844885 (Why is no real title available?)
- scientific article; zbMATH DE number 3671542 (Why is no real title available?)
- scientific article; zbMATH DE number 3333061 (Why is no real title available?)
- Premium principles and translation invariance
Cited in
(47)- On convex principles of premium calculation
- On additive principles of zero utility
- On robust premium principles
- Premium rating under non-exponential utility
- The Dutch premium principle
- Positive homogeneity and multiplicativity of premium principles on positive risks
- Properties of the Esscher premium calculation principle
- Nonzero-sum stochastic differential reinsurance games with jump-diffusion processes
- A unified approach to the monotone integral-based premium principles under the CPT theory
- Stability properties of Haezendonck-Goovaerts premium principles
- A decomposition of general premium principles into risk and deviation
- Minimal representation of insurance prices
- A note on weighted premium calculation principles
- The uncertain premium principle based on the distortion function
- Ordering of risks under PH-transforms
- On the sublinear Wang's premium principle
- Characterization theorems for scale invariance property of insurance premium calculation principles
- A premium principle based on the g-integral
- Bayesian premium under zero-utility premium principle
- A note on subadditivity of zero-utility premiums
- scientific article; zbMATH DE number 3844885 (Why is no real title available?)
- scientific article; zbMATH DE number 3850337 (Why is no real title available?)
- scientific article; zbMATH DE number 3870456 (Why is no real title available?)
- Eine Charakterisierung des Standardabweichungsprinzips
- scientific article; zbMATH DE number 3982372 (Why is no real title available?)
- scientific article; zbMATH DE number 4005408 (Why is no real title available?)
- Characterization theorems for mean value insurance premium calculation principle
- Statistische Prämienkalkulation nach dem Exponentialprinzip bei unbekannter Risikoverteilung
- On a class of premium principles including the Esscher principle
- scientific article; zbMATH DE number 718679 (Why is no real title available?)
- On Quasi-mean value principles
- Premiums and reserves, adjusted by distortions
- scientific article; zbMATH DE number 2168889 (Why is no real title available?)
- The zero utility principle for scale families of risk distributions
- scientific article; zbMATH DE number 3996959 (Why is no real title available?)
- scientific article; zbMATH DE number 4113818 (Why is no real title available?)
- scientific article; zbMATH DE number 2101203 (Why is no real title available?)
- Fair insurance premium rate in connected SEIR model under epidemic outbreak
- Comparison of the net premium and paid-up benefit valuation principles
- On the characterization of premium principle with respect to pointwise comonotonicity
- Characterization of convex premium principles
- On the aggregation of experts' information in bonus-malus systems
- Calculating premium principles from the mode of a unimodal weighted distribution
- On the use of capacities in representing premium calculation principles
- Premium principles and translation invariance
- Characterization theorems for customer equivalent utility insurance premium calculation principle
- Weighted premium calculation principles
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