A family of premium principles based on mixtures of TVaRs. (English) Zbl 1373.62531
Summary: Risk-adjusted distributions are commonly used in actuarial science to define premium principles. In this paper, we claim that an appropriate risk-adjusted distribution, besides satisfying other desirable properties, should be well-behaved under conditioning with respect to the original risk distribution. Based on a sequence of such risk-adjusted distributions, we introduce a family of premium principles that gradually incorporate the degree of risk-aversion of the insurer in the risk loading. Members of this family are particular distortion premium principles that can be represented as mixtures of TVaRs, where the weights in the mixture reflect the attitude toward risk of the insurer. We make a systematic study of this family of premium principles.
MSC:
| 62P05 | Applications of statistics to actuarial sciences and financial mathematics |
| 60E15 | Inequalities; stochastic orderings |
| 62B10 | Statistical aspects of information-theoretic topics |
| 91B30 | Risk theory, insurance (MSC2010) |
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