Log-supermodularity of weight functions, ordering weighted losses, and the loading monotonicity of weighted premiums

DOI10.1016/J.INSMATHECO.2010.11.005MaRDI QIDQ2276227zbMATH OpenOpenAlexFDO

Authors Hristo S. Sendov, Ying Wang, Ričardas Zitikis

Publication date 1 August 2011

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

Full work available at URL https://arxiv.org/abs/1008.3427

zbMATH Keywords

submodularitylikelihood ratio orderEsscher premiumweighted distributioninsurance premiumconditional tail expectationsupermodularitydecision under uncertaintydistortion premiumlog-supermodularitytotal positivity of order 2weighted premiumKamps premiumWang premium

Mathematics Subject Classification ID

Abstract: The paper is motivated by a problem concerning the monotonicity of insurance premiums with respect to their loading parameter: the larger the parameter, the larger the insurance premium is expected to be. This property, usually called loading monotonicity, is satisfied by premiums that appear in the literature. The increased interest in constructing new insurance premiums has raised a question as to what weight functions would produce loading-monotonic premiums. In this paper we demonstrate a decisive role of log-supermodularity in answering this question. As a consequence, we establish - at a stroke - the loading monotonicity of a number of well-known insurance premiums and offer a host of further weight functions, and consequently of premiums, thus illustrating the power of the herein suggested methodology for constructing loading-monotonic insurance premiums.

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Cites work

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Cited in

(4)

• Discussion on “Size-Biased Risk Measures of Compound Sums,” by Michel Denuit, January 2020
• Probability inequalities for weighted distributions
• A new variability order based on tail-heaviness
• Loading monotonicity of weighted premiums, and total positivity properties of weight functions

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