Loading monotonicity of weighted premiums, and total positivity properties of weight functions

DOI10.1016/J.JMAA.2019.02.054zbMATH Open1410.91286arXiv1806.07957OpenAlexW2963712085WikidataQ128336530 ScholiaQ128336530MaRDI QIDQ2633749FDOQ2633749

Authors: Donald Richards, Caroline Uhler 

Publication date: 10 May 2019

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Abstract: We consider the construction of insurance premiums that are monotonically increasing with respect to a loading parameter. By introducing weight functions that are totally positive of higher order, we derive higher monotonicity properties of weighted transformed premiums. We deduce that the greater the degree of randomness of insured risks, the higher the order of total positivity that should be required for the chosen weight functions. We examine seven classes of weight functions that have appeared in the literature, and we ascertain the higher order total positivity properties of those functions.

Full work available at URL: https://arxiv.org/abs/1806.07957

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zbMATH Keywords

total positivityindex of dispersionBinet-Cauchy formulavariance-to-mean ratioweighted premiumsloading parameter

Mathematics Subject Classification ID

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Cited In (5)

• Discussion on “Size-Biased Risk Measures of Compound Sums,” by Michel Denuit, January 2020
• A behavioral condition for Prelec's weighting function on the positive line without assuming \(W(1)=1\)
• Weighted Pricing Functionals With Applications to Insurance
• Log-supermodularity of weight functions, ordering weighted losses, and the loading monotonicity of weighted premiums
• Quantifying non-monotonicity of functions and the lack of positivity in signed measures

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