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

DOI10.1016/J.INSMATHECO.2015.09.014MaRDI QIDQ896768zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Premiums and reserves, adjusted by distortions
• Behavioral premium principles
• Insurance Premium Calculations with Anticipated Utility Theory
• Disappointment aversion premium principle
• Pricing insurance contracts under cumulative prospect theory

Cites work

• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• A class of non-expected utility risk measures and implications for asset allocations
• A rank-dependent generalization of zero utility principle.
• Advances in prospect theory: cumulative representation of uncertainty
• Coherent measures of risk
• Loss reserving using loss aversion functions
• On additive principles of zero utility
• On convex principles of premium calculation
• Pricing insurance contracts under cumulative prospect theory
• Properties of the Esscher premium calculation principle
• The Dutch premium principle
• The concept of comonotonicity in actuarial science and finance: theory.
• Weighted premium calculation principles

Cited in

(1)

• Weighted risk capital allocations in the presence of systematic risk

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