A New characterization of distortion premiums via countable additivity for comonotonic risks | Macquarie University ResearchOnline

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Title: A New characterization of distortion premiums via countable additivity for comonotonic risks
Related: Insurance, mathematics and economics, Vol. 38, Issue 2, p.324-334
DOI: 10.1016/j.insmatheco.2005.09.002
Publisher: Elsevier
Date: 2006
FoR/RFCD Code(s): 010400 Statistics 140200 Applied Economics
Author/Creator: Wu, Xianyi
Author/Creator: Zhou, Xian
Description: For premium calculation principles or risk measures, all existing works only consider the additivity for a finite number of comonotonic risks. As we all know, a limiting status of finite additivity is the additivity for countable risks. In this paper we investigate the countable additivity and generate new and elegant characterizations for Choquet pricing and distortion premium principles. We also study the countable exchangeability, as an extension to additivity. It leads to generalized Choquet pricing and generalized distortion premium principles.
Description: 11 page(s)
Subject Keyword: 010400 Statistics
Subject Keyword: 140200 Applied Economics
Subject Keyword: comonotonicity
Subject Keyword: comonotonic additivity
Subject Keyword: comonotonic exchangeability
Subject Keyword: insurance pricing
Subject Keyword: choquet pricing
Subject Keyword: distortion premium principle
Resource Type: journal article
Organisation: Macquarie University. Dept. of Actuarial Studies

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