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On the characterization of convex premium principles

Author

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  • Marta Cardin

    () (Department of Applied Mathematics, University of Venice)

  • Graziella Pacelli

    () (Department of Social Sciences, 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 [1]. The considered premium principles are obtained by expansion of TVar measures, consequently they look like very interesting in insurance pricing where TVar measures is frequently used to value tail risks.

Suggested Citation

  • Marta Cardin & Graziella Pacelli, 2006. "On the characterization of convex premium principles," Working Papers 142, Department of Applied Mathematics, Università Ca' Foscari Venezia.
    • Handle: RePEc:vnm:wpaper:142
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    References listed on IDEAS

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    1. 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.
    2. Wang, Shaun & Dhaene, Jan, 1998. "Comonotonicity, correlation order and premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 22(3), pages 235-242, July.
    3. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
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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.

    More about this item

    Keywords

    risk measures; premium principles; capacity; distortion function; TVar;

    JEL classification:

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

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