Premium Calculation by Transforming the Layer Premium Density

S. Wang

Working Papers from Risk and Insurance Archive

Abstract: This paper examines a class of premium principles which are (i) comonotonic additive and (ii) preserving stochastic dominance. The representation for this class is a transform on the decumulative distribution function. It has close connections with the recent developments in economic decision theory (e.g. Yaari, 1987). The proportional hazard transform may provide an alternative to the variance as a risk measure.

Keywords: Insurance pricing; comonotonicity; stochastic dominance; mean- variance analysis (search for similar items in EconPapers)
Date: 1994-08
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:wop:riskar:030

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