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Characterization of Convex Premium Principles

In: Mathematical and Statistical Methods in Insurance and Finance

Author

Listed:
  • Marta Cardin

    (University of Venice)

  • Graziella Pacelli

    (University of Ancona)

Abstract

In actuarial literature the properties of risk measures or insurance premium principles have been extensively studied. We propose a characterization of a particular class of coherent risk measures defined in [Art99]. The considered premium principles are obtained by expansion of TVaR measures, consequently they look very interesting in insurance pricing where TVaR measures are frequently used to value tail risks.

Suggested Citation

  • Marta Cardin & Graziella Pacelli, 2008. "Characterization of Convex Premium Principles," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods in Insurance and Finance, pages 53-60, Springer.
    • Handle: RePEc:spr:sprchp:978-88-470-0704-8_7
    DOI: 10.1007/978-88-470-0704-8_7
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    References listed on IDEAS

    as
    1. Wang, Shaun & Dhaene, Jan, 1998. "Comonotonicity, correlation order and premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 22(3), pages 235-242, July.
    2. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    3. Lynn Wirch, Julia & Hardy, Mary R., 1999. "A synthesis of risk measures for capital adequacy," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 337-347, December.
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    Cited by:

    1. Marta Cardin & Elisa Pagani, 2008. "Some proposals about multivariate risk measurement," Working Papers 165, Department of Applied Mathematics, Università Ca' Foscari Venezia.

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    More about this item

    Keywords

    Risk measures; Premium principles; Choquet measures; Distortion function; TVaR;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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