EconPapers    
Economics at your fingertips  
 

The distortion principle for insurance pricing: properties, identification and robustness

Daniela Escobar and Georg Pflug

Papers from arXiv.org

Abstract: Distortion (Denneberg 1990) is a well known premium calculation principle for insurance contracts. In this paper, we study sensitivity properties of distortion functionals w.r.t. the assumptions for risk aversion as well as robustness w.r.t. ambiguity of the loss distribution. Ambiguity is measured by the Wasserstein distance. We study variances of distances for probability models and identify some worst case distributions. In addition to the direct problem we also investigate the inverse problem, that is how to identify the distortion density on the basis of observations of insurance premia.

New Economics Papers: this item is included in nep-ias, nep-rmg and nep-upt
Date: 2018-09
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://arxiv.org/pdf/1809.06592 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1809.06592

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2018-10-20
Handle: RePEc:arx:papers:1809.06592