The tradeoff insurance premium as a two-sided generalisation of the distortion premium

DOI10.1016/J.INSMATHECO.2015.09.014zbMATH Open1348.91135OpenAlexW2179933438MaRDI QIDQ896768FDOQ896768

Authors: Weihao Choo, Piet de Jong 

Publication date: 14 December 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.09.014

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zbMATH Keywords

spectral risktwo-sideddistortion premiumloss appetiteloss aversion reserveweighted premium

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Utility theory (91B16)

Cites Work

• Title not available (Why is that?)
• Coherent measures of risk
• Advances in prospect theory: cumulative representation of uncertainty
• A rank-dependent generalization of zero utility principle.
• Pricing insurance contracts under cumulative prospect theory
• The concept of comonotonicity in actuarial science and finance: theory.
• Loss reserving using loss aversion functions
• On convex principles of premium calculation
• Weighted premium calculation principles
• A class of non-expected utility risk measures and implications for asset allocations
• On additive principles of zero utility
• The Dutch premium principle
• Properties of the Esscher premium calculation principle

Cited In (1)

• Weighted risk capital allocations in the presence of systematic risk

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