Commonotonically additive premium principles and some related topics

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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. Department of Actuarial Studies

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