Risk-adjusted credibility premiums using distorted probabilities

DOI10.1080/03461238.1998.10413999MaRDI QIDQ4235022zbMATH OpenOpenAlexFDO

Authors Shaun S. Wang, Virginia R. Young

Publication date 25 March 1999

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.1998.10413999

Mathematics Subject Classification ID

Recommendations

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Cites work

• scientific article; zbMATH DE number 4032883 (Why is no real title available?)
• scientific article; zbMATH DE number 3281213 (Why is no real title available?)
• Axiomatic characterization of insurance prices
• Conditioning (updating) non-additive measures
• Continuous subjective expected utility with non-additive probabilities
• Expected utility with purely subjective non-additive probabilities
• Insurance pricing and increased limits ratemaking by proportional hazards transforms
• Non-additive measure and integral
• Subjective Probability and Expected Utility without Additivity
• The Dual Theory of Choice under Risk
• Theory of games and economic behavior.
• Updating ambiguous beliefs
• Updating non-additive measures with fuzzy information

Cited in

(19)

• A Bayesian beta Markov random field calibration of the term structure of implied risk neutral densities
• On the risk of credibility premium rules
• A new approach for loaded credibility premiums
• Measurement of relative inequity and Yaari's dual theory of risk.
• Credibility in Favor of Unlucky Insureds
• On univariate extreme value statistics and the estimation of reinsurance premiums
• Premiums and reserves, adjusted by distortions
• Risk capital allocation and cooperative pricing of insurance liabilities.
• Dynamic capital allocation with distortion risk measures
• Comment on: ``On focusing, soft and strong revision of Choquet capacities and their role in statistics
• Optimal non-life reinsurance under Solvency II regime
• Subjective risk measures: Bayesian predictive scenarios analysis
• Credibility theory based on trimming
• Optimal stopping under probability distortion
• New stochastic comparisons based on tail value at risk measures
• Numerical computation of convex risk measures
• The uncertain premium principle based on the distortion function
• Computation of distorted probabilities for diffusion processes via stochastic control methods.
• A class of distortion measures generated from expectile and its estimation

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