Title of article
On distribution-free safe layer-additive pricing
Author/Authors
Hürlimann، نويسنده , , W.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1998
Pages
9
From page
277
To page
285
Abstract
It is shown that a distribution-free implicit price loading method, which sets prices using a modified Hardy-Littlewood majorant of the stop-loss ordered maximal random variable by given range, mean and variance, induces distribution-free safe layer-additive distortion pricing. As a by-product, Karlsruhe pricing turns out to be a valid linear approximation to Hardy-Littlewood pricing in case the coefficient of variation is sufficiently high.
Keywords
Insurance layers , Karlsruhe principle , Choquet pricing , Distorted probability , Safeness property , Distribution-free method , Stochastic orders , mean-variance analysis , Extremal random variables , Hardy-Littlewood majorant
Journal title
Insurance Mathematics and Economics
Serial Year
1998
Journal title
Insurance Mathematics and Economics
Record number
1541990
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