The distortion principle for insurance pricing: properties, identification and robustness
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Publication:827147
DOI10.1007/S10479-018-3119-1zbMATH Open1455.91220arXiv1809.06592OpenAlexW2889931324MaRDI QIDQ827147FDOQ827147
Authors: Debora Daniela Escobar, Georg Ch. Pflug 
Publication date: 6 January 2021
Published in: Annals of Operations Research (Search for Journal in Brave)
Abstract: Distortion (Denneberg 1990) is a well known premium calculation principle for insurance contracts. In this paper, we study sensitivity properties of distortion functionals w.r.t. the assumptions for risk aversion as well as robustness w.r.t. ambiguity of the loss distribution. Ambiguity is measured by the Wasserstein distance. We study variances of distances for probability models and identify some worst case distributions. In addition to the direct problem we also investigate the inverse problem, that is how to identify the distortion density on the basis of observations of insurance premia.
Full work available at URL: https://arxiv.org/abs/1809.06592
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Cited In (10)
- Robust spectral risk optimization when information on risk spectrum is incomplete
- Insurance premium-based shortfall risk measure induced by cumulative prospect theory
- Risk measures under model uncertainty: a Bayesian viewpoint
- Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making
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