Abstract
This paper examines an insurance or risk premium calculation method called the mean-value-distortion pricing principle in the general framework of anticipated utility theory. Then the relationship between comonotonicity and independence is explored. Two types of risk aversion and optimal reinsurance contracts are also discussed in the context of the pricing principle.
Volume
31
Page
23-36
Year
2001
Categories
Actuarial Applications and Methodologies
Dynamic Risk Modeling
Reinsurance Analysis
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Utility Theory
Business Areas
Reinsurance
Financial and Statistical Methods
Risk Measures
Publications
ASTIN Bulletin
