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Document Details : Title: Mean-Value Principle under Cumulative Prospect Theory Author(s): KALUSZKA, Marek , KRZESZOWIEC, Michał Journal: ASTIN Bulletin Volume: 42 Issue: 1 Date: 2012 Pages: 103-122 DOI: 10.2143/AST.42.1.2160737 Abstract : In the paper we introduce a generalization of the mean-value principle under Cumulative Prospect Theory. This new method involves some well-known ways of pricing insurance contracts described in the actuarial literature. Properties of this premium principle, such as translation and scale invariance, additivity for independent risks, risk loading and others are studied. |
