Mean-Value Principle under Cumulative Prospect Theory

Marek Kaluszka and Michał Krzeszowiec

ASTIN Bulletin, 2012, vol. 42, issue 1, 103-122

Abstract: In the paper we introduce a generalization of the mean-value principle under Cumulative Prospect Theory. This new method involves some well-known ways of pricing insurance contracts described in the actuarial literature. Properties of this premium principle, such as translation and scale invariance, additivity for independent risks, risk loading and others are studied.

Date: 2012
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