A decomposition of general premium principles into risk and deviation

Max Nendel, Frank Riedel and Maren Diane Schmeck

Papers from arXiv.org

Abstract: We provide an axiomatic approach to general premium principles in a probability-free setting that allows for Knightian uncertainty. Every premium principle is the sum of a risk measure, as a generalization of the expected value, and a deviation measure, as a generalization of the variance. One can uniquely identify a maximal risk measure and a minimal deviation measure in such decompositions. We show how previous axiomatizations of premium principles can be embedded into our more general framework. We discuss dual representations of convex premium principles, and study the consistency of premium principles with a financial market in which insurance contracts are traded.

Date: 2020-06, Revised 2020-12
New Economics Papers: this item is included in nep-ias and nep-rmg
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http://arxiv.org/pdf/2006.14272 Latest version (application/pdf)

Related works:
Journal Article: A decomposition of general premium principles into risk and deviation (2021)
Working Paper: A Decompostion of General Premium Principles into Risk and Deviation (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2006.14272

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