An important problem in the insurance and banking industries is that of pricing risk or premium valuation. When the empirical data is not large, and loss distributions are inferred from the data, a potentially large sample dependence of the premia on the data is to be expected. The maximum...

The current paper provides a general approach to construct distortion operators that can price financial and insurance risks. Our approach generalizes the Wang (2000) transform and recovers multiple distortions proposed in the literature as particular cases. This approach enables designing...