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Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.14/85154
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- Title
- Commonotonically additive premium principles and some related topics
- Related
- Shang, Hanji. Actuarial science : theory and methodology, p.93-132
- Publisher
- Beijing ; New Jersey : World Scientific Publishing
- Date
- 2006
- Author/Creator
- Wu, Xianyi
- Author/Creator
- Zhou, Xian
- Author/Creator
- Wang, Jinglong
- Description
- 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.
- Description
- 40 page(s)
- Subject Keyword
- 150200 Banking, Finance and Investment
- Resource Type
- book chapter
- Organisation
- Macquarie University. Dept. of Actuarial Studies
- Identifier
- http://hdl.handle.net/1959.14/85154
- Identifier
- ISBN:9789812565051
- Identifier
- mq-rm-2007010717
- Language
- eng
Macquarie University ResearchOnline
