On Characterization of Distortion Premium Principle
Keyword(s):
In this paper, based on the additive measure integral representation of a non-additive measure integral, it is shown that any comonotonically additive premium principle can be represented as an integral of the distorted decumulative distribution function of the insurance risk. Furthermore, a sufficient and necessary condition that a premium principle is a distortion premium principle is given.
1984 ◽
Vol 49
(12)
◽
pp. 2721-2738
◽
Keyword(s):