On Characterization of Distortion Premium Principle

Xianyi wu; Xianyi wu; Jinglong Wang

doi:10.1017/S051503610001326X

On Characterization of Distortion Premium Principle

Xianyi wu
, Xianyi wu
, Jinglong Wang

Hong Kong Polytechnic University
Guizhou Nationality College
East China Normal University

科研成果: 期刊稿件 › 文章 › 同行评审

11 引用（Scopus）

摘要

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.

源语言	英语
页（从-至）	1-10
页数	10
期刊	ASTIN Bulletin
卷	33
期	1
DOI	https://doi.org/10.1017/S051503610001326X
出版状态	已出版 - 5月 2003
已对外发布	是

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AB - 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.

KW - Choquet Integral

KW - Comonotonicity

KW - Distortion Premium Principle

KW - Non-Additive Measure

UR - https://www.scopus.com/pages/publications/85011444701

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DO - 10.1017/S051503610001326X

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On Characterization of Distortion Premium Principle

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