Abstract
Recently, Wang's premium principle (Wang 1995, 1996) has been discussed by many authors. Considerable attention has been given to the conditions under which Wang's premium principle can be reduced to the standard deviation premium principle. In this paper, we have got two results on this problem. One is that the natural set is a location-scale family if Wang's premium principle can be reduced to the SD premium principle for all subjective distortions. The other is that the natural set is a location-scale family for all power distortions.
Volume
31
Page
139-146
Year
2001
Categories
Financial and Statistical Methods
Risk Measures
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Publications
ASTIN Bulletin
