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A note on the axiomatization of Wang premium principle by means of continuity considerations

Author

Listed:
  • Gianni Bosi

    (Dipartimento di Scienze Economiche, Aziendali, Matematiche e Statistiche, University of Trieste)

  • Magalì Zuanon

    (Dipartimento di Metodi Quantitativi, University of Brescia)

Abstract

The so called "Wang premium" is the well known principle of premium calculation expressed by means of the Choquet integral with respect to a (concave) distorted probability. In this paper we present a simple axiomatization of a sublinear Wang premium which is based on considerations related to the uniform continuity of a comonotone subadditive and monotone premium functional on the space of all bounded risks on a probability space.

Suggested Citation

  • Gianni Bosi & Magalì Zuanon, 2012. "A note on the axiomatization of Wang premium principle by means of continuity considerations," Economics Bulletin, AccessEcon, vol. 32(4), pages 3158-3165.
    • Handle: RePEc:ebl:ecbull:eb-12-00637
    as

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    References listed on IDEAS

    as
    1. Wu, Xianyi & Wang, Jinglong, 2003. "On Characterization of Distortion Premium Principle," ASTIN Bulletin, Cambridge University Press, vol. 33(1), pages 1-10, May.
    2. Wu, Xianyi & Zhou, Xian, 2006. "A new characterization of distortion premiums via countable additivity for comonotonic risks," Insurance: Mathematics and Economics, Elsevier, vol. 38(2), pages 324-334, April.
    3. Bosi, Gianni & Campion, Maria J. & Candeal, Juan C. & Indurain, Esteban & Zuanon, Magali E., 2007. "Isotonies on ordered cones through the concept of a decreasing scale," Mathematical Social Sciences, Elsevier, vol. 54(2), pages 115-127, September.
    4. J. Dhaene & S. Vanduffel & M. Goovaerts, 2007. "Comonotonicity," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, vol. 0(2), pages 265-278.
    5. Wang, Shaun S. & Young, Virginia R. & Panjer, Harry H., 1997. "Axiomatic characterization of insurance prices," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 173-183, November.
    6. Young, Virginia R., 1998. "Families of update rules for non-additive measures: Applications in pricing risks," Insurance: Mathematics and Economics, Elsevier, vol. 23(1), pages 1-14, October.
    7. Bosi, Gianni & Zuanon, Magali E., 2003. "Continuous representability of homothetic preorders by means of sublinear order-preserving functions," Mathematical Social Sciences, Elsevier, vol. 45(3), pages 333-341, July.
    8. Song, Yongsheng & Yan, Jia-An, 2009. "Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 459-465, December.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Wang premium principle; widely translation invariant functional; Choquet integral; distorted probability; comonotone subadditive functional;
    All these keywords.

    JEL classification:

    • C0 - Mathematical and Quantitative Methods - - General
    • C7 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory

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