A decomposition of general premium principles into risk and deviation
| Autor: | Max Nendel, Maren Diane Schmeck, Frank Riedel |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2021 |
| Předmět: |
Statistics and Probability
Economics and Econometrics Generalization Risk measure 0211 other engineering and technologies Mathematics::Optimization and Control 02 engineering and technology Expected value Deviation measure 01 natural sciences Measure (mathematics) FOS: Economics and business 010104 statistics & probability Econometrics 0101 mathematics Superhedging Knightian uncertainty Mathematics 021103 operations research Convex duality Statistics::Applications Financial market Axiomatic system Variance (accounting) 91B30 91G20 46A20 Principle of premium calculation Mathematical Finance (q-fin.MF) Quantitative Biology::Genomics Computer Science::Performance Quantitative Finance - Mathematical Finance Risk Management (q-fin.RM) Statistics Probability and Uncertainty Quantitative Finance - Risk Management |
| Popis: | We provide an axiomatic approach to general premium principles in a probability-free setting that allows for Knightian uncertainty. Every premium principle is the sum of a risk measure, as a generalization of the expected value, and a deviation measure, as a generalization of the variance. One can uniquely identify a maximal risk measure and a minimal deviation measure in such decompositions. We show how previous axiomatizations of premium principles can be embedded into our more general framework. We discuss dual representations of convex premium principles, and study the consistency of premium principles with a financial market in which insurance contracts are traded. (C) 2021 Elsevier B.V. All rights reserved. |
| Databáze: | OpenAIRE |
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