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Premium Calculation by Transforming the Layer Premium Density

  • Shaun Wang (a1)
Abstract
Abstract

This paper examines a class of premium functionals which are (i) comonotonic additive and (ii) stochastic dominance preservative. The representation for this class is a transformation of the decumulative distribution function. It has close connections with the recent developments in economic decision theory and non-additive measure theory. Among a few elementary members of this class, the proportional hazard transform seems to stand out as being most plausible for actuaries.

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Copyright
Corresponding author
Dept. of Statistics and Actuarial Science, University of Waterloo, Waterloo, ON N2L 3G1, Canada, E-mail: sswang@math.uwaterloo.ca
References
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ASTIN Bulletin: The Journal of the IAA
  • ISSN: 0515-0361
  • EISSN: 1783-1350
  • URL: /core/journals/astin-bulletin-journal-of-the-iaa
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