Abstract
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.
| Original language | English |
|---|---|
| Pages (from-to) | 1-10 |
| Number of pages | 10 |
| Journal | ASTIN Bulletin |
| Volume | 33 |
| Issue number | 1 |
| DOIs | |
| State | Published - May 2003 |
| Externally published | Yes |
Keywords
- Choquet Integral
- Comonotonicity
- Distortion Premium Principle
- Non-Additive Measure