IDEAS home Printed from https://ideas.repec.org/a/eee/insuma/v23y1998i1p1-14.html
   My bibliography  Save this article

Families of update rules for non-additive measures: Applications in pricing risks

Author

Listed:
  • Young, Virginia R.

Abstract

No abstract is available for this item.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:insuma:v:23:y:1998:i:1:p:1-14
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-6687(98)00017-1
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Yaari, Menahem E, 1987. "The Dual Theory of Choice under Risk," Econometrica, Econometric Society, vol. 55(1), pages 95-115, January.
    2. Gilboa Itzhak & Schmeidler David, 1993. "Updating Ambiguous Beliefs," Journal of Economic Theory, Elsevier, vol. 59(1), pages 33-49, February.
    3. Wang, Shaun, 1996. "Premium Calculation by Transforming the Layer Premium Density," ASTIN Bulletin, Cambridge University Press, vol. 26(1), pages 71-92, May.
    4. A. Chateauneuf & R. Kast & A. Lapied, 1996. "Choquet Pricing For Financial Markets With Frictions1," Mathematical Finance, Wiley Blackwell, vol. 6(3), pages 323-330, July.
    5. Schmeidler, David, 1989. "Subjective Probability and Expected Utility without Additivity," Econometrica, Econometric Society, vol. 57(3), pages 571-587, May.
    6. Venter, Gary G., 1991. "Premium Calculation Implications of Reinsurance Without Arbitrage," ASTIN Bulletin, Cambridge University Press, vol. 21(2), pages 223-230, November.
    7. Young, Virginia R., 1998. "Robust Bayesian Credibility Using Semiparametric Models," ASTIN Bulletin, Cambridge University Press, vol. 28(2), pages 187-203, November.
    8. 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.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. André Lapied & Pascal Toquebeuf, 2011. "Dynamically consistent CEU preferences," Working Papers halshs-00856193, HAL.
    2. Lapied, André & Toquebeuf, Pascal, 2012. "Dynamically consistent CEU preferences on f-convex events," Mathematical Social Sciences, Elsevier, vol. 63(3), pages 252-256.
    3. Tsanakas, Andreas, 2004. "Dynamic capital allocation with distortion risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 223-243, October.
    4. Cai, Jun & Wang, Ying & Mao, Tiantian, 2017. "Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 105-116.
    5. Laeven, Roger J. A. & Goovaerts, Marc J., 2004. "An optimization approach to the dynamic allocation of economic capital," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 299-319, October.
    6. Siu, Tak Kuen & Yang, Hailiang, 1999. "Subjective risk measures: Bayesian predictive scenarios analysis," Insurance: Mathematics and Economics, Elsevier, vol. 25(2), pages 157-169, November.
    7. 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.
    8. Tsanakas, Andreas & Barnett, Christopher, 2003. "Risk capital allocation and cooperative pricing of insurance liabilities," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 239-254, October.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. John A. Major & Stephen J. Mildenhall, 2020. "Pricing and Capital Allocation for Multiline Insurance Firms With Finite Assets in an Imperfect Market," Papers 2008.12427, arXiv.org.
    2. 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.
    3. Marta Cardin & Paola Ferretti, 2001. "On the use of capacities in representing premium calculation principles," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 24(1), pages 71-77, May.
    4. Leitner, Johannes, 2005. "Dilatation monotonous Choquet integrals," Journal of Mathematical Economics, Elsevier, vol. 41(8), pages 994-1006, December.
    5. Laeven, Roger J. A. & Goovaerts, Marc J., 2004. "An optimization approach to the dynamic allocation of economic capital," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 299-319, October.
    6. Young, Virginia R. & Zariphopoulou, Thaleia, 2000. "Computation of distorted probabilities for diffusion processes via stochastic control methods," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 1-18, August.
    7. Belles-Sampera, Jaume & Merigó, José M. & Guillén, Montserrat & Santolino, Miguel, 2013. "The connection between distortion risk measures and ordered weighted averaging operators," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 411-420.
    8. Schmidt, Ulrich & Zank, Horst, 2009. "A simple model of cumulative prospect theory," Journal of Mathematical Economics, Elsevier, vol. 45(3-4), pages 308-319, March.
    9. Stanislaw Heilpern, 2002. "Using Choquet integral in economics," Statistical Papers, Springer, vol. 43(1), pages 53-73, January.
    10. Boonen, Tim J., 2017. "Risk Redistribution Games With Dual Utilities," ASTIN Bulletin, Cambridge University Press, vol. 47(1), pages 303-329, January.
    11. Asimit, Vali & Boonen, Tim J., 2018. "Insurance with multiple insurers: A game-theoretic approach," European Journal of Operational Research, Elsevier, vol. 267(2), pages 778-790.
    12. Denuit Michel & Dhaene Jan & Goovaerts Marc & Kaas Rob & Laeven Roger, 2006. "Risk measurement with equivalent utility principles," Statistics & Risk Modeling, De Gruyter, vol. 24(1), pages 1-25, July.
    13. Gzyl, Henryk & Mayoral, Silvia, 2008. "Determination of risk pricing measures from market prices of risk," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 437-443, December.
    14. Holly Brannelly & Andrea Macrina & Gareth W. Peters, 2021. "Stochastic measure distortions induced by quantile processes for risk quantification and valuation," Papers 2201.02045, arXiv.org.
    15. Tsanakas, Andreas, 2004. "Dynamic capital allocation with distortion risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 223-243, October.
    16. Samuel Solgon Santos & Marcelo Brutti Righi & Eduardo de Oliveira Horta, 2022. "The limitations of comonotonic additive risk measures: a literature review," Papers 2212.13864, arXiv.org, revised Jan 2024.
    17. 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.
    18. Robert Kast & André Lapied, 2010. "Valuing future cash flows with non separable discount factors and non additive subjective measures: conditional Choquet capacities on time and on uncertainty," Theory and Decision, Springer, vol. 69(1), pages 27-53, July.
    19. De Waegenaere, A.M.B. & Wakker, P.P., 1997. "Choquet Integrals With Respect to Non-Monotonic Set Functions," Other publications TiSEM 85f2b7aa-da15-4c19-9765-b, Tilburg University, School of Economics and Management.
    20. Kast, Robert & Lapied, Andre, 2003. "Comonotonic book making and attitudes to uncertainty," Mathematical Social Sciences, Elsevier, vol. 46(1), pages 1-7, August.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:23:y:1998:i:1:p:1-14. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.