A note on the axiomatization of Wang premium principle by means of continuity considerations

Gianni Bosi and Magalì Zuanon ()
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Magalì Zuanon: Dipartimento di Metodi Quantitativi, University of Brescia

Economics Bulletin, 2012, vol. 32, issue 4, 3158-3165

Abstract: The so called "Wang premium" is the well known principle of premium calculation expressed by means of the Choquet integral with respect to a (concave) distorted probability. In this paper we present a simple axiomatization of a sublinear Wang premium which is based on considerations related to the uniform continuity of a comonotone subadditive and monotone premium functional on the space of all bounded risks on a probability space.

Keywords: Wang premium principle; widely translation invariant functional; Choquet integral; distorted probability; comonotone subadditive functional (search for similar items in EconPapers)
JEL-codes: C0 C7 (search for similar items in EconPapers)
Date: 2012-11-19
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