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Document Details : Title: On Characterization of Distortion Premium Principle Author(s): WU, X. , WANG, J. Journal: ASTIN Bulletin Volume: 33 Issue: 1 Date: May 2003 Pages: 1-10 DOI: 10.2143/AST.33.1.1035 Abstract : In this paper, based on the additive measure integral representation of a nonadditive measure integral, it is shown that any comonotonically additive premium principle can be represented as an integral of the distorted decumulative distribution function of the insurance risk. Furthermore, a sufficient and necessary condition that a premium principle is a distortion premium principle is given. |
