A decomposition of general premium principles into risk and deviation

DOI10.1016/J.INSMATHECO.2021.05.006MaRDI QIDQ2234760zbMATH OpenOpenAlexFDO

Authors Max Nendel, Frank Riedel, Maren Diane Schmeck

Publication date 19 October 2021

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2006.14272

zbMATH Keywords

convex dualitydeviation measureprinciple of premium calculationrisk measuresuperhedging

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Statistical methods; risk measures (91G70)

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.

Recommendations

• Properties of premium calculation principles
• On Characterization of Distortion Premium Principle
• Some new classes of consistent risk measures
• Risk measures and insurance premium principles.
• Eine Charakterisierung des Standardabweichungsprinzips

Cites work

• G-expectation, G-Brownian motion and related stochastic calculus of Itô type
• A composition between risk and deviation measures
• A discussion of parameter and model uncertainty in insurance
• A Smooth Model of Decision Making under Ambiguity
• Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
• Axiomatic characterization of insurance prices
• Convex measures of risk and trading constraints
• Convex risk functionals: representation and applications
• From actuarial to financial valuation principles
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• HEDGING MORTALITY CLAIMS WITH LONGEVITY BONDS
• scientific article; zbMATH DE number 5321684 (Why is no real title available?)
• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• Insurance premia consistent with the market.
• Law invariant risk measures have the Fatou property
• Martingale representation theorem for the \(G\)-expectation
• Maxmin expected utility with non-unique prior
• Monotone and cash-invariant convex functions and hulls
• Mortality options: the point of view of an insurer
• Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation
• On convex principles of premium calculation
• On the pricing of longevity-linked securities
• PORTFOLIO SELECTION WITH MONOTONE MEAN-VARIANCE PREFERENCES
• Quasi-sure stochastic analysis through aggregation
• Reinsurance. Actuarial and statistical aspects
• Stochastic finance. An introduction in discrete time.

Cited in

(11)

• Insurance premia consistent with the market.
• Star-shaped deviations
• Law-invariant functionals that collapse to the mean: beyond convexity
• A composition between risk and deviation measures
• Minimal representation of insurance prices
• Minkowski deviation measures
• scientific article; zbMATH DE number 3850337 (Why is no real title available?)
• scientific article; zbMATH DE number 718679 (Why is no real title available?)
• On the decomposition of an insurer's profits and losses
• An axiomatic approach to default risk and model uncertainty in rating systems
• A note on the induction of comonotonic additive risk measures from acceptance sets

This page was built for publication: A decomposition of general premium principles into risk and deviation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2234760)