Premium Calculation by Transforming the Layer Premium Density
- 1 May 1996
- journal article
- Published by Cambridge University Press (CUP) in ASTIN Bulletin
- Vol. 26 (1), 71-92
- https://doi.org/10.2143/ast.26.1.563234
Abstract
This paper examines a class of premium functionals which are (i) comonotonic additive and (ii) stochastic dominance preservative. The representation for this class is a transformation of the decumulative distribution function. It has close connections with the recent developments in economic decision theory and non-additive measure theory. Among a few elementary members of this class, the proportional hazard transform seems to stand out as being most plausible for actuaries.Keywords
This publication has 18 references indexed in Scilit:
- Insurance pricing and increased limits ratemaking by proportional hazards transformsInsurance: Mathematics and Economics, 1995
- The Dutch premium principleInsurance: Mathematics and Economics, 1992
- The Dual Theory of Choice under RiskEconometrica, 1987
- Integral representation without additivityProceedings of the American Mathematical Society, 1986
- A theory of anticipated utilityJournal of Economic Behavior & Organization, 1982
- An Introduction to Mathematical Risk Theory.Journal of the American Statistical Association, 1982
- "Expected Utility" Analysis without the Independence AxiomEconometrica, 1982
- Exponential Utility Theory Ratemaking: An Alternative Ratemaking ApproachJournal of Risk and Insurance, 1979
- Increasing risk: I. A definitionJournal of Economic Theory, 1970
- Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole AmericaineEconometrica, 1953