Insurance Premium Calculations with Anticipated Utility Theory

Cuncun Luan

ASTIN Bulletin, 2001, vol. 31, issue 1, 23-35

Abstract: This paper examines an insurance or risk premium calculation method called the mean-value-distortion pricing principle in the general framework of anticipated utility theory. Then the relationship between comonotonicity and independence is explored. Two types of risk aversion and optimal reinsurance contracts are also discussed in the context of the pricing principle.

Date: 2001
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