Optimal insurance under Wang’s premium principle

Insurance: Mathematics and Economics - Tập 25 - Trang 109-122 - 1999
Virginia R. Young1
1Actuarial Science Department, School of Business, University of Wisconsin-Madison, Grainger Hall, 975 University Avenue, Madison, WI 53706-1323, USA

Tài liệu tham khảo

Borch, K., 1968. The Economics of Uncertainty. Princeton University Press, Princeton, NJ. Denneberg, D., 1994. Non-Additive Measure and Integral, Kluwer, Academic Publishers, Dordrecht. Deprez, 1985, On convex principles of premium calculation, Insurance: Mathematics & Economics, 4, 179, 10.1016/0167-6687(85)90014-9 Pratt, 1964, Risk aversion in the small and in the large, Econometrica, 32, 122, 10.2307/1913738 Quiggin, 1985, Anticipated utility, subjectively weighted utility and the Allais paradox, Organisational Behavior and Human Performance, 35, 94, 10.1016/0749-5978(85)90046-9 Smith, 1968, Optimal insurance coverage, Journal of Political Economy, 76, 68, 10.1086/259382 von Neumann, J., Morgenstern, O., 1944. Theory of Games and Economic Behavior. Princeton University Press, Princeton, NJ. Wang, 1996, Premium calculation by transforming the layer premium density, ASTIN Bulletin, 26, 71, 10.2143/AST.26.1.563234 Wang, 1997, Axiomatic characterization of insurance prices, Insurance: Mathematics & Economics, 21, 173, 10.1016/S0167-6687(97)00031-0 Wang, S., Dhaene, J., 1998. Comonotonicity, correlation order and premium principles. Insurance: Mathematics & Economics, to appear. Yaari, 1987, The dual theory of choice under risk, Econometrica, 55, 95, 10.2307/1911158 Young, 1997, Explaining insurance policy provisions via adverse selection, Geneva Papers on Risk and Insurance Theory, 22, 121, 10.1023/A:1008616117296