Premium Calculation by Transforming the Layer Premium Density

Shaun Wang

ASTIN Bulletin, 1996, vol. 26, issue 1, 71-92

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.

Date: 1996
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