Title of article
Axiomatic characterization of insurance prices
Author/Authors
Wang، نويسنده , , Shaun S. and Young، نويسنده , , Virginia R. and Panjer، نويسنده , , Harry H.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1997
Pages
11
From page
173
To page
183
Abstract
In this paper, we take an axiomatic approach to characterize insurance prices in a competitive market setting. We present four axioms to describe the behavior of market insurance prices. From these axioms it follows that the price of an insurance risk has a Choquet integral representation with respect to a distorted probability (Yaari, 1987). We propose an additional axiom for reducing compound risks. This axiom determines that the distortion function is a power function.
Keywords
Integral representation , Insurance pricing , Choquet integral
Journal title
Insurance Mathematics and Economics
Serial Year
1997
Journal title
Insurance Mathematics and Economics
Record number
1541785
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