Premium Calculation by Transforming the Layer Premium Density

ASTIN Bulletin

Volumn 26, Issue 1, 1996, Pages 71-92

  Wang, Shaun ^a  

^a UNIVERSITY OF WATERLOO   (Canada)

Author keywords

comonotonicity; mean variance analysis; Premium calculation principle; proportional hazard transform; stochastic dominance

Indexed keywords

EID: 85011528623     PISSN: 05150361     EISSN: 17831350     Source Type: Journal    
DOI: 10.2143/AST.26.1.563234     Document Type: Article

References (23)

1. Albrecht, P. (1992). Premium calculation without arbitrage? A note on a contribution by G. Venter. ASTIN Bulletin, 22, 247–254.
2. Allais, M. (1953). Le comportement de l'homme rationel devant le risque: critique des axioms et postulates de l'ecole Americaine. Econometrica. 21(4), 503–46.
3. Borch, K.H. (1961). The utility concept applied to the theory of insurance. ASTIN Bulletin, 1, 170–191.
4. Buhlmann, H. (1980) An economic premium principle. ASTIN Bulletin, 11, 52–60.
5. Denneberg, D. (1990). Premium calculation: why standard deviation should be replaced by absolute deviation. ASTIN Bulletin, 20: 181–190.
6. Denneberg, D. (1994). Non-Addititue Measure And Integral. Kluwer Academic Publishers, Boston.
7. Fishburn, P. (1982). The Foundations of Expected Utility. Reidel, Dordrecht, Holland.
8. Freifelder, L.R. (1979). Exponential utility theory ratemaking: an alternative ratemaking approach. Journal of Risk and Insurance, 46: 515–530.
9. Gerber, H.U. (1979). An Introduction to Mathematical Risk Theory. Huebner Foundation Monograph, Wharton School, University of Pennsylvania.
10. Goovaerts, M.J., de Vylder, F. and Haezendonck, J. (1984) Insurance Premiums: Theory and Applications. North-Holland, Amsterdam.
11. Kaas, R., Van Heerwaarden, A.E., and Goovaerts, M.J. (1994) Ordering of Actuarial Risks. Ceuterick, Leuven, Belgium.
12. Machina, M. (1982) ‘Expected Utility’ analysis without the independence axiom. Econometrica, 50(2), 217–323.
13. Meyers, G.G. (1991). The competitive market equilibrium risk load formula for increased limits ratemaking. Proceedings of the Casualty Actuarial Society. Vol. LXXVIII, 163–200.
14. Quiggin, J. (1982). A theory of anticipated utility. Journal of Economic Behavior and Organization, 3(4), 323–43.
15. Ramsay, C.M. (1994) Loading gross premiums for risk without using utility theory, with Discussions. Transactions of the Society of Actuaries. Vol. XLV, p. 305–349.
16. Reich, A. (1986) Properties of premium calculation principles. Insurance: Mathematics and Economics, 5, 97–101.
17. Robbin, (1992). Discussion of Meyers' paper – The competitive market equilibrium risk load formula for increased limits ratemaking. Proceedings of the Casualty Actuarial Society. Vol. LXXIX, 367–384.
18. Rotschield, M. and Stiglitz, J.E. (1970) Increasing risk I: a definition. Journal fo Economic Theory. 2, 225–243.
19. Schmeidler, D. (1986). Integral representation without additivity. Proceedings of the American Mathematical Society, 97: 225–261.
20. van Heerwaarden, A.E. and Kaas, R. (1992) The Dutch premium principle. Insurance: Mathematics and Economics, 11, 129–133.
21. Venter, G.G. (1991) Premium calculation inmplications of reinsurance without arbitrage. ASTIN Bulletin, 21, 223–230.
22. Wang, S. (1995) Insurance Pricing And Increased Limits Ratemaking By Proportional Hazards Transforms. Insurance: Mathematics and Economics, 17, 43–54.
23. Yaari, M.E. (1987). The dual theory of choice under risk. Econometrica, 55: 95–115.