Characterization of Convex Premium Principles

Marta Cardin and Graziella Pacelli ()
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Graziella Pacelli: University of Ancona

A chapter in Mathematical and Statistical Methods in Insurance and Finance, 2008, pp 53-60 from Springer

Abstract: Abstract In actuarial literature the properties of risk measures or insurance premium principles have been extensively studied. We propose a characterization of a particular class of coherent risk measures defined in [Art99]. The considered premium principles are obtained by expansion of TVaR measures, consequently they look very interesting in insurance pricing where TVaR measures are frequently used to value tail risks.

Keywords: Risk measures; Premium principles; Choquet measures; Distortion function; TVaR (search for similar items in EconPapers)
Date: 2008
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Working Paper: On the characterization of convex premium principles (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-88-470-0704-8_7

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DOI: 10.1007/978-88-470-0704-8_7

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