Articlebronze1996

Premium Calculation by Transforming the Layer Premium Density

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Probability and Risk Models Insurance and Financial Risk Management Probability and Statistical Research

Abstract

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.

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References

1953Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine 1982A theory of anticipated utility 1987The Dual Theory of Choice under Risk 1982"Expected Utility" Analysis without the Independence Axiom 1979An introduction to mathematical risk theory 1982The Foundations of Expected Utility

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