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A note on the axiomatization of Wang premium principle by means of continuity considerations

BOSI, GIANNI
•
Zuanon M.
2012
  • journal article

Periodico
ECONOMICS BULLETIN
Abstract
The so called "Wang's premium" is the well known principle of premium calculation expressed by means of the Choquet integral with respect to a (concave) distorted probability. In this paper we present a simple axiomatization of a sublinear Wang's premium which is based on considerations related to the uniform continuity of a comonotone subadditive and monotone premium functional on the space of all bounded risks on a probability space.
Archivio
http://hdl.handle.net/11368/2638435
info:eu-repo/semantics/altIdentifier/scopus/2-s2.0-84873422746
Diritti
metadata only access
Soggetti
  • Wang's premium princi...

  • widely translation in...

  • Choquet integral

  • distorted probabilit...

  • comonotone subadditiv...

Visualizzazioni
1
Data di acquisizione
Apr 19, 2024
Vedi dettagli
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