On the use of capacities in representing premium calculation principles

DOI10.1007/S102030170011MaRDI QIDQ698355zbMATH OpenOpenAlexFDO

Authors Marta Cardin, Paola Ferretti

Publication date 21 October 2003

Published in Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s102030170011

zbMATH Keywords

Choquet integralrepresentation theoremspremium principles

Mathematics Subject Classification ID

Decision theory (91B06)

Recommendations

• Choquet integral representation of premium functional and related properties on capacity spaces
• Properties of premium calculation principles
• On Characterization of Distortion Premium Principle
• Characterization theorems for mean value insurance premium calculation principle
• On the characterization of premium principle with respect to pointwise comonotonicity

Cites work

• Axiomatic characterization of insurance prices
• Modeling attitudes towards uncertainty and risk through the use of Choquet integral
• Non-additive measure and integral
• Subjective Probability and Expected Utility without Additivity
• Sulla rappresentazione di funzionali mediante integrali
• The Dual Theory of Choice under Risk

Cited in

(12)

• Choquet integral representation of premium functional and related properties on capacity spaces
• On Characterization of Distortion Premium Principle
• Characterization theorems for scale invariance property of insurance premium calculation principles
• A unified approach to the monotone integral-based premium principles under the CPT theory
• Characterization theorems for customer equivalent utility insurance premium calculation principle
• On the characterization of premium principle with respect to pointwise comonotonicity
• A note on Choquet integrals and imprecise market premium functionals
• A new characterization of distortion premiums via countable additivity for comonotonic risks
• Minimal representation of insurance prices
• Characterization theorems for mean value insurance premium calculation principle
• Stability properties of Haezendonck-Goovaerts premium principles
• A premium principle based on the \(g\)-integral

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