Risk measures and insurance premium principles. (English) Zbl 1055.91053
Summary: 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.
MSC:
91B30 | Risk theory, insurance (MSC2010) |
62P05 | Applications of statistics to actuarial sciences and financial mathematics |
References:
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