On characterization of distortion premium principle

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.

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Year of publication:	2003-05-01
Authors:	Wu, Xianyi ; Wang, Jinglong
Institutions:	International Actuarial Association / Actuarial Studies in Non-Life Insurance
Published in:	ASTIN BULLETIN- The Journal of the ASTIN and AFIR Section of the International Actuarial Association ASTIN BULLETIN - Vol.33 - No.1 - 2003; 1-10
Subject:	Versicherungsbetriebslehre \| insurance management \| Versicherungswirtschaft \| Versicherungsmathematik

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Extent:	240640 bytes 10 p. application/pdf
Type of publication:	Article
Language:	English
Classification:	Management of insurance ; Insurance Industry ; Individual Articles ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005847030