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

DOI10.1016/J.JMAA.2019.02.054MaRDI QIDQ2633749zbMATH OpenOpenAlexWikidataFDO

Authors Donald Richards, Caroline Uhler

Publication date 10 May 2019

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

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

zbMATH Keywords

Binet-Cauchy formulaindex of dispersionloading parametertotal positivityvariance-to-mean ratioweighted premiums

Mathematics Subject Classification ID

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.

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Cited in

(6)

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

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