Commonotonically additive premium principles and some related topics

Xianyi Wu, Xian Zhou, Jinglong Wang

Research output: Chapter in Book/Report/Conference proceedingChapter

Abstract

This chapter is concerned with distortion premium principles and some related topics. Apart from the characterization of a distortion premium principle, this chapter also examines the additivities involved in premium pricing and reveals the relationship among the three types of additivities. Furthermore, reduction of distortion premium to standard deviation principle for certain distribution families is investigated. In addition, ordering problem for real-valued risks (beyond the nonnegative risks) is addressed, which suggests that it is more reasonable to order risks in the dual theory than the original theory.
Original languageEnglish
Title of host publicationActuarial science
Subtitle of host publicationtheory and methodology
EditorsHanji Shang
Place of PublicationBeijing ; New Jersey
PublisherWorld Scientific Publishing
Pages93-132
Number of pages40
ISBN (Print)9789812565051
Publication statusPublished - 2006
Externally publishedYes

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