Title of article :
Risk measures and insurance premium principles
Author/Authors :
Landsman، نويسنده , , Zinoviy and Sherris، نويسنده , , Michael، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2001
Abstract :
Risk measures based on distorted probabilities have been recently developed in actuarial science and applied to insurance rate making. We propose a risk measure that has the properties of risk aversion and diversification, is additive for losses and consistent in its treatment of insurance and investment risks. We show that the risk measure based on distorted probabilities is not consistent in its ordering of insurance and investment risks.
Keywords :
Risk Measure , Premium principles , diversification , Distortion function
Journal title :
Insurance Mathematics and Economics
Journal title :
Insurance Mathematics and Economics