Axiomatic characterization of insurance prices

被引：305

作者：

Wang, SS ^{[1
]}

Young, VR ^{[1
]}

Panjer, HH ^{[1
]}

机构：

[1] UNIV WISCONSIN,SCH BUSINESS,MADISON,WI 53706

来源：

INSURANCE MATHEMATICS & ECONOMICS | 1997年 / 21卷 / 02期

关键词：

integral representation; insurance pricing; Choquet integral;

D O I：

10.1016/S0167-6687(97)00031-0

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper, we take an axiomatic approach to characterize insurance prices in a competitive market setting, We present four axioms to describe the behavior of market insurance prices. From these axioms it follows that the price of an insurance risk has a Choquet integral representation with respect to a distorted probability (Yaari, 1987). We propose an additional axiom for reducing compound risks. This axiom determines that the distortion function is a power function. (C) 1997 Elsevier Science B.V.

引用

页码：173 / 183

页数：11