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Document Details :
Title: Premium Calculation by Transforming the Layer Premium Density
Author(s): WANG, S.
Journal: ASTIN Bulletin
Volume: 26 Issue: 1 Date: May 1996
This paper examines a class of premium functionals which are (I) comonotonic additive and (II) stochastic dominance preservative. The representation for this class is a transformation of the decumulative distribution function It has close connections with the recent developments m economic decision theory and non-additive measure theory. Among a few elementary members of this class, the proportional hazard transform seems to stand out as being most plausible for actuaries.