Risk measures and insurance premium principles

被引：35

作者：

Landsman, Z

Sherris, M ^{[1
]}

机构：

[1] Univ New S Wales, Fac Commerce & Econ, Sydney, NSW 2052, Australia

[2] Univ Haifa, Dept Stat, IL-31999 Haifa, Israel

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2001年 / 29卷 / 01期

关键词：

risk measure; distortion function; premium principles; diversification;

D O I：

10.1016/S0167-6687(01)00076-2

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Risk measures based on distorted probabilities have been recently developed in actuarial science and applied to insurance rate making. We propose a risk measure that has the properties of risk aversion and diversification, is additive for losses and consistent in its treatment of insurance and investment risks. We show that the risk measure based on distorted probabilities is not consistent in its ordering of insurance and investment risks. (C) 2001 Elsevier Science B.V. All rights reserved.

引用

页码：103 / 115

页数：13

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