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Document Details : Title: Insurance Premium Calculation with Anticipated Utility Theory Author(s): LUAN, C. Journal: ASTIN Bulletin Volume: 31 Issue: 1 Date: May 2001 Pages: 23-35 DOI: 10.2143/AST.31.1.992 Abstract : This paper examines an insurance or risk premium calculation method called the mean-value-distortion pricing principle in the general framework of anticipated utility theory. Then the relationship between comonotonicity and independence is explored. Two types of risk aversion and optimal reinsurance contracts are also discussed in the context of the pricing principle. |
