The Natural Sets of Wang's Premium Principle1

Xian-Yi Wu

ASTIN Bulletin, 2001, vol. 31, issue 1, 139-145

Abstract: Recently, Wang's premium principle (Wang, 1995, 1996) has been discussed by many authors. Considerable attention has been given to the conditions under which Wang's premium principle can be reduced to the standard deviation premium principle. In this paper, we have got two results on this problem. One is that the natural set is a location-scale family if Wang's premium principle can be reduced to the SD premium principle for all surjective distortions. The other is that the natural set is a location-scale family for all power distortions.

Date: 2001
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