Minimal representation of insurance prices

Alois Pichler and Alexander Shapiro

Insurance: Mathematics and Economics, 2015, vol. 62, issue C, 184-193

Abstract: This paper prices insurance contracts by employing law invariant, coherent risk measures from mathematical finance. We demonstrate that the corresponding premium principle enjoys a minimal representation. Uniqueness–in a sense specified in the paper–of this premium principle is derived from this initial result. The representations are derived from a result by Kusuoka, which is usually given for nonatomic probability spaces. We extend this setting to premium principles for spaces with atoms, as this is of particular importance for insurance.

Keywords: Premium principles; Stochastic order relations; Convex analysis; Fenchel–Moreau theorem; Kusuoka representation (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:62:y:2015:i:c:p:184-193

DOI: 10.1016/j.insmatheco.2015.03.011

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