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On Characterization of Distortion Premium Principle*

Published online by Cambridge University Press:  17 April 2015

Xianyi Wu  and
Jinglong Wang
Xianyi Wu
Affiliation:
Department of Applied Mathematics, The Hong Kong Polytechnic University, Hung Hom, Kowloon, Hong Kong. E-mail: maxywu\@polyu.edu.hk, Guizhou Nationality College, Guiyang 550025, P. R. China
Jinglong Wang
Affiliation:
Department of Statistics, East China Normal University, Shanghai 200062, P. R. China
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Abstract

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In this paper, based on the additive measure integral representation of a non-additive measure integral, it is shown that any comonotonically additive premium principle can be represented as an integral of the distorted decumulative distribution function of the insurance risk. Furthermore, a sufficient and necessary condition that a premium principle is a distortion premium principle is given.

Keywords

Choquet IntegralComonotonicityDistortion Premium PrincipleNon-Additive Measure
Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 33 , Issue 1 , May 2003 , pp. 1 - 10
Copyright
Copyright © ASTIN Bulletin 2003

Footnotes

*

Project 19831020 Supported by National Natural Science Foundations of China.

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