Abstract
Recently, Wang's premium principle (Wang, 1995, 1996) has been discussed by many authors. Considerable attention has been given to the conditions under which Wang's premium principle can be reduced to the standard deviation premium principle. In this paper, we have got two results on this problem. One is that the natural set is a location-scale family if Wang's premium principle can be reduced to the SD premium principle for all surjective distortions. The other is that the natural set is a location-scale family for all power distortions.
| Original language | English |
|---|---|
| Pages (from-to) | 139-145 |
| Number of pages | 7 |
| Journal | ASTIN Bulletin |
| Volume | 31 |
| Issue number | 1 |
| DOIs | |
| State | Published - May 2001 |
Keywords
- Laplace transformation
- Premium principle
- distortion function
- location-scale family
- natural set
- proportional hazard transformation
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