The distortion principle for insurance pricing: properties, identification and robustness
Daniela Escobar and
Papers from arXiv.org
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
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)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
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 ().