Hostname: page-component-cd9895bd7-jkksz Total loading time: 0 Render date: 2024-12-27T06:53:16.110Z Has data issue: false hasContentIssue false
  • English
  • Français

On Characterization of Distortion Premium Principle*

Published online by Cambridge University Press:  17 April 2015

Xianyi Wu  and
Jinglong Wang
Xianyi Wu
Affiliation:
Department of Applied Mathematics, The Hong Kong Polytechnic University, Hung Hom, Kowloon, Hong Kong. E-mail: maxywu\@polyu.edu.hk, Guizhou Nationality College, Guiyang 550025, P. R. China
Jinglong Wang
Affiliation:
Department of Statistics, East China Normal University, Shanghai 200062, P. R. China
Rights & Permissions [Opens in a new window]

Abstract

Core share and HTML view are not available for this content. However, as you have access to this content, a full PDF is available via the ‘Save PDF’ action button.

In this paper, based on the additive measure integral representation of a non-additive measure integral, it is shown that any comonotonically additive premium principle can be represented as an integral of the distorted decumulative distribution function of the insurance risk. Furthermore, a sufficient and necessary condition that a premium principle is a distortion premium principle is given.

Keywords

Choquet IntegralComonotonicityDistortion Premium PrincipleNon-Additive Measure
Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 33 , Issue 1 , May 2003 , pp. 1 - 10
Copyright
Copyright © ASTIN Bulletin 2003

Footnotes

*

Project 19831020 Supported by National Natural Science Foundations of China.

References

Denneberg, D. (1994) Non-additive measure and Integral, Kluwer Academic Publishers.Google Scholar
Wang, S. (1995) Insurance pricing and increased limits rate making by propotional hazards transforms, Insurance: Mathematics and Economics, 17, 43–54.Google Scholar
Wang, S. (1996) Premium calculation by transforming the layer premium density, ASTIN Bulletin, 26, 71–92.CrossRefGoogle Scholar
Wang, S. (1998) An acturial index of the right-tail risk, North American Acturial Journal, 2(2), 88–101.Google Scholar
Wang, S. and Dhaene, J. (1998) Comonotonicity, correlation order and premium principles, Insurance: Mathematics and Economics, 22, 235–242.Google Scholar
Wang, S. Young, V. R. and Panjer, H. H. (1997) Axiomatic Characterization of insurance prices, Insurance: Mathematics and Economics, 21, 173–183.Google Scholar
Yaari, M. E. (1987) The dual theory of Choice under risk, Economics, 55, 95–115.Google Scholar
Young, V. R. (1999) Optimal insurance under Wang’s premium principle, Insurance: Mathematics and Economics, 25, 109–122.Google Scholar