On the use of capacities in representing premium calculation principles

DOI10.1007/S102030170011zbMATH Open1022.91033OpenAlexW2072096442MaRDI QIDQ698355FDOQ698355

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

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

zbMATH Keywords

Choquet integralrepresentation theoremspremium principles

Mathematics Subject Classification ID

Decision theory (91B06)

Cites Work

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

Cited In (12)

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

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