A decomposition of general premium principles into risk and deviation
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Publication:2234760
DOI10.1016/J.INSMATHECO.2021.05.006zbMATH Open1471.91477arXiv2006.14272OpenAlexW3170748565MaRDI QIDQ2234760FDOQ2234760
Authors: Max Nendel, Frank Riedel, Maren Diane Schmeck 
Publication date: 19 October 2021
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Abstract: We provide an axiomatic approach to general premium principles in a probability-free setting that allows for Knightian uncertainty. Every premium principle is the sum of a risk measure, as a generalization of the expected value, and a deviation measure, as a generalization of the variance. One can uniquely identify a maximal risk measure and a minimal deviation measure in such decompositions. We show how previous axiomatizations of premium principles can be embedded into our more general framework. We discuss dual representations of convex premium principles, and study the consistency of premium principles with a financial market in which insurance contracts are traded.
Full work available at URL: https://arxiv.org/abs/2006.14272
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