Premium Calculation by Transforming the Layer Premium Density

This paper examines a class of premium principles which are (i) comonotonic additive and (ii) preserving stochastic dominance. The representation for this class is a transform on the decumulative distribution function. It has close connections with the recent developments in economic decision theory (e.g. Yaari, 1987). The proportional hazard transform may provide an alternative to the variance as a risk measure.

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Year of publication:	1994-08
Authors:	Wang, S.
Institutions:	Risk and Insurance Archive
Subject:	Insurance pricing \| comonotonicity \| stochastic dominance \| mean- variance analysis

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005743031