Axiomatic characterization of insurance prices
Identifieur interne : 001026 ( Istex/Corpus ); précédent : 001025; suivant : 001027Axiomatic characterization of insurance prices
Auteurs : Shaun S. Wang ; Virginia R. Young ; Harry H. PanjerSource :
- Insurance Mathematics and Economics [ 0167-6687 ] ; 1997.
Abstract
In this paper, we take an axiomatic approach to characterize insurance prices in a competitive market setting. We present four axioms to describe the behavior of market insurance prices. From these axioms it follows that the price of an insurance risk has a Choquet integral representation with respect to a distorted probability (Yaari, 1987). We propose an additional axiom for reducing compound risks. This axiom determines that the distortion function is a power function.
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DOI: 10.1016/S0167-6687(97)00031-0
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Wang</name><affiliation><mods:affiliation>Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Ont., Canada N2L 3G1</mods:affiliation></affiliation></author><author><name sortKey="Young, Virginia R" sort="Young, Virginia R" uniqKey="Young V" first="Virginia R." last="Young">Virginia R. Young</name><affiliation><mods:affiliation>School of Business, University of Wisconsin - Madison, Madison, WI 53706, USA</mods:affiliation></affiliation></author><author><name sortKey="Panjer, Harry H" sort="Panjer, Harry H" uniqKey="Panjer H" first="Harry H." last="Panjer">Harry H. Panjer</name><affiliation><mods:affiliation>Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Ont., Canada N2L 3G1</mods:affiliation></affiliation></author></analytic><monogr></monogr><series><title level="j">Insurance Mathematics and Economics</title><title level="j" type="abbrev">INSUMA</title><idno type="ISSN">0167-6687</idno><imprint><publisher>ELSEVIER</publisher><date type="published" when="1997">1997</date><biblScope unit="volume">21</biblScope><biblScope unit="issue">2</biblScope><biblScope unit="page" from="173">173</biblScope><biblScope unit="page" to="183">183</biblScope></imprint><idno type="ISSN">0167-6687</idno></series><idno type="istex">5DF52AFF181CA9D6EB79070832AF5D86402B1064</idno><idno type="DOI">10.1016/S0167-6687(97)00031-0</idno><idno type="PII">S0167-6687(97)00031-0</idno></biblStruct></sourceDesc><seriesStmt><idno type="ISSN">0167-6687</idno></seriesStmt></fileDesc><profileDesc><textClass></textClass><langUsage><language ident="en">en</language></langUsage></profileDesc></teiHeader><front><div type="abstract" xml:lang="en">In this paper, we take an axiomatic approach to characterize insurance prices in a competitive market setting. We present four axioms to describe the behavior of market insurance prices. From these axioms it follows that the price of an insurance risk has a Choquet integral representation with respect to a distorted probability (Yaari, 1987). We propose an additional axiom for reducing compound risks. This axiom determines that the distortion function is a power function.</div></front></TEI><istex><corpusName>elsevier</corpusName><author><json:item><name>Shaun S. Wang</name><affiliations><json:string>Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Ont., Canada N2L 3G1</json:string></affiliations></json:item><json:item><name>Virginia R. Young</name><affiliations><json:string>School of Business, University of Wisconsin - Madison, Madison, WI 53706, USA</json:string></affiliations></json:item><json:item><name>Harry H. Panjer</name><affiliations><json:string>Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Ont., Canada N2L 3G1</json:string></affiliations></json:item></author><subject><json:item><lang><json:string>eng</json:string></lang><value>Integral representation</value></json:item><json:item><lang><json:string>eng</json:string></lang><value>Insurance pricing</value></json:item><json:item><lang><json:string>eng</json:string></lang><value>Choquet integral</value></json:item></subject><language><json:string>eng</json:string></language><originalGenre><json:string>Full-length article</json:string></originalGenre><abstract>In this paper, we take an axiomatic approach to characterize insurance prices in a competitive market setting. We present four axioms to describe the behavior of market insurance prices. From these axioms it follows that the price of an insurance risk has a Choquet integral representation with respect to a distorted probability (Yaari, 1987). We propose an additional axiom for reducing compound risks. This axiom determines that the distortion function is a power function.</abstract><qualityIndicators><score>5.736</score><pdfVersion>1.2</pdfVersion><pdfPageSize>548 x 756 pts</pdfPageSize><refBibsNative>true</refBibsNative><keywordCount>3</keywordCount><abstractCharCount>476</abstractCharCount><pdfWordCount>4848</pdfWordCount><pdfCharCount>24158</pdfCharCount><pdfPageCount>11</pdfPageCount><abstractWordCount>74</abstractWordCount></qualityIndicators><title>Axiomatic characterization of insurance prices</title><pii><json:string>S0167-6687(97)00031-0</json:string></pii><refBibs><json:item><host><author></author><title>On Applications and Theory of Functional Equations</title></host></json:item><json:item><author><json:item><name>P. Albrecht</name></json:item></author><host><volume>22</volume><pages><last>254</last><first>247</first></pages><author></author><title>ASTIN Bulletin</title></host><title>Discussion of G.G. 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We present four axioms to describe the behavior of market insurance prices. From these axioms it follows that the price of an insurance risk has a Choquet integral representation with respect to a distorted probability (Yaari, 1987). We propose an additional axiom for reducing compound risks. This axiom determines that the distortion function is a power function.</p></abstract><textClass><keywords scheme="keyword"><list><head>Keywords</head><item><term>Integral representation</term></item><item><term>Insurance pricing</term></item><item><term>Choquet integral</term></item></list></keywords></textClass></profileDesc><revisionDesc><change when="1997">Published</change></revisionDesc></teiHeader></istex:fulltextTEI><json:item><extension>txt</extension><original>false</original><mimetype>text/plain</mimetype><uri>https://api.istex.fr/document/5DF52AFF181CA9D6EB79070832AF5D86402B1064/fulltext/txt</uri></json:item></fulltext><metadata><istex:metadataXml wicri:clean="Elsevier, elements deleted: tail"><istex:xmlDeclaration>version="1.0" encoding="utf-8"</istex:xmlDeclaration><istex:docType PUBLIC="-//ES//DTD journal article DTD version 4.5.2//EN//XML" URI="art452.dtd" name="istex:docType"></istex:docType><istex:document><converted-article version="4.5.2" docsubtype="fla"><item-info><jid>INSUMA</jid><aid>97000310</aid><ce:pii>S0167-6687(97)00031-0</ce:pii><ce:doi>10.1016/S0167-6687(97)00031-0</ce:doi><ce:copyright type="unknown" year="1997"></ce:copyright></item-info><head><ce:title>Axiomatic characterization of insurance prices</ce:title><ce:author-group><ce:author><ce:given-name>Shaun S.</ce:given-name><ce:surname>Wang</ce:surname><ce:cross-ref refid="COR1"><ce:sup>∗</ce:sup></ce:cross-ref><ce:cross-ref refid="AFF1"><ce:sup>a</ce:sup></ce:cross-ref></ce:author><ce:author><ce:given-name>Virginia R.</ce:given-name><ce:surname>Young</ce:surname><ce:cross-ref refid="AFF2"><ce:sup>b</ce:sup></ce:cross-ref></ce:author><ce:author><ce:given-name>Harry H.</ce:given-name><ce:surname>Panjer</ce:surname><ce:cross-ref refid="AFF1"><ce:sup>a</ce:sup></ce:cross-ref></ce:author><ce:affiliation id="AFF1"><ce:label>a</ce:label><ce:textfn>Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Ont., Canada N2L 3G1</ce:textfn></ce:affiliation><ce:affiliation id="AFF2"><ce:label>b</ce:label><ce:textfn>School of Business, University of Wisconsin - Madison, Madison, WI 53706, USA</ce:textfn></ce:affiliation><ce:correspondence id="COR1"><ce:label>∗</ce:label><ce:text>Corresponding author.</ce:text></ce:correspondence></ce:author-group><ce:abstract><ce:section-title>Abstract</ce:section-title><ce:abstract-sec><ce:simple-para>In this paper, we take an axiomatic approach to characterize insurance prices in a competitive market setting. We present four axioms to describe the behavior of market insurance prices. From these axioms it follows that the price of an insurance risk has a Choquet integral representation with respect to a distorted probability (Yaari, 1987). We propose an additional axiom for reducing compound risks. This axiom determines that the distortion function is a power function.</ce:simple-para></ce:abstract-sec></ce:abstract><ce:keywords><ce:section-title>Keywords</ce:section-title><ce:keyword><ce:text>Integral representation</ce:text></ce:keyword><ce:keyword><ce:text>Insurance pricing</ce:text></ce:keyword><ce:keyword><ce:text>Choquet integral</ce:text></ce:keyword></ce:keywords></head></converted-article></istex:document></istex:metadataXml><mods version="3.6"><titleInfo><title>Axiomatic characterization of insurance prices</title></titleInfo><titleInfo type="alternative" contentType="CDATA"><title>Axiomatic characterization of insurance prices</title></titleInfo><name type="personal"><namePart type="given">Shaun S.</namePart><namePart type="family">Wang</namePart><affiliation>Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Ont., Canada N2L 3G1</affiliation><description>Corresponding author.</description><role><roleTerm type="text">author</roleTerm></role></name><name type="personal"><namePart type="given">Virginia R.</namePart><namePart type="family">Young</namePart><affiliation>School of Business, University of Wisconsin - Madison, Madison, WI 53706, USA</affiliation><role><roleTerm type="text">author</roleTerm></role></name><name type="personal"><namePart type="given">Harry H.</namePart><namePart type="family">Panjer</namePart><affiliation>Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Ont., Canada N2L 3G1</affiliation><role><roleTerm type="text">author</roleTerm></role></name><typeOfResource>text</typeOfResource><genre type="research-article" displayLabel="Full-length article"></genre><originInfo><publisher>ELSEVIER</publisher><dateIssued encoding="w3cdtf">1997</dateIssued><copyrightDate encoding="w3cdtf">1997</copyrightDate></originInfo><language><languageTerm type="code" authority="iso639-2b">eng</languageTerm><languageTerm type="code" authority="rfc3066">en</languageTerm></language><physicalDescription><internetMediaType>text/html</internetMediaType></physicalDescription><abstract lang="en">In this paper, we take an axiomatic approach to characterize insurance prices in a competitive market setting. We present four axioms to describe the behavior of market insurance prices. From these axioms it follows that the price of an insurance risk has a Choquet integral representation with respect to a distorted probability (Yaari, 1987). We propose an additional axiom for reducing compound risks. This axiom determines that the distortion function is a power function.</abstract><subject><genre>Keywords</genre><topic>Integral representation</topic><topic>Insurance pricing</topic><topic>Choquet integral</topic></subject><relatedItem type="host"><titleInfo><title>Insurance Mathematics and Economics</title></titleInfo><titleInfo type="abbreviated"><title>INSUMA</title></titleInfo><genre type="journal">journal</genre><originInfo><dateIssued encoding="w3cdtf">19971115</dateIssued></originInfo><identifier type="ISSN">0167-6687</identifier><identifier type="PII">S0167-6687(00)X0015-7</identifier><part><date>19971115</date><detail type="issue"><title>in Honor of Prof. J.A. Beekman</title></detail><detail type="volume"><number>21</number><caption>vol.</caption></detail><detail type="issue"><number>2</number><caption>no.</caption></detail><extent unit="issue pages"><start>95</start><end>183</end></extent><extent unit="pages"><start>173</start><end>183</end></extent></part></relatedItem><identifier type="istex">5DF52AFF181CA9D6EB79070832AF5D86402B1064</identifier><identifier type="DOI">10.1016/S0167-6687(97)00031-0</identifier><identifier type="PII">S0167-6687(97)00031-0</identifier><recordInfo><recordContentSource>ELSEVIER</recordContentSource></recordInfo></mods></metadata></istex></record>Pour manipuler ce document sous Unix (Dilib)
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