A note on the axiomatization of Wang premium principle by means of continuity considerations

The so called "Wang premium" is the well known principle of premium calculation expressed by means of the Choquet integral with respect to a (concave) distorted probability. In this paper we present a simple axiomatization of a sublinear Wang premium which is based on considerations related to the uniform continuity of a comonotone subadditive and monotone premium functional on the space of all bounded risks on a probability space.

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Year of publication:	2012
Authors:	Bosi, Gianni ; Zuanon, Magalí
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 32.2012, 4, p. 3158-3165
Publisher:	AccessEcon
Subject:	Wang premium principle \| widely translation invariant functional \| Choquet integral \| distorted probability \| comonotone subadditive functional

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Extent:	application/pdf
Type of publication:	Article
Classification:	C0 - Mathematical and Quantitative Methods. General ; C7 - Game Theory and Bargaining Theory
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011278779