On Characterization of Distortion Premium Principle*

Xianyi Wu and Jinglong Wang

ASTIN Bulletin, 2003, vol. 33, issue 1, 1-10

Abstract: In this paper, based on the additive measure integral representation of a non-additive measure integral, it is shown that any comonotonically additive premium principle can be represented as an integral of the distorted decumulative distribution function of the insurance risk. Furthermore, a sufficient and necessary condition that a premium principle is a distortion premium principle is given.

Date: 2003
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