A Decompostion of General Premium Principles into Risk and Deviation

Nendel M, Schmeck MD, Riedel F (2020) Center for Mathematical Economics Working Papers; 638.
Bielefeld: Center for Mathematical Economics.

Diskussionspapier | Veröffentlicht | Englisch
 
Download
OA 389.70 KB
Abstract / Bemerkung
In this paper, we provide an axiomatic approach to general premium priciples giving rise to a decomposition into risk, as a generalization of the expected value, and deviation, as a generalization of the variance. We show that, for every premium priciple, there exists a maximal risk measure capturing all risky components covered by the insurance prices. In a second step, we consider dual representations of convex risk measures consistent with the premium priciple. In particular, we show that the convex conjugate of the aforementioned maximal risk measure coincides with the convex conjugate of the premium principle on the set of all finitely additive probability measures. In a last step, we consider insurance prices in the presence of a not neccesarily frictionless market, where insurance claims are traded. In this setup, we discuss premium principles that are consistent with hedging using securization products that are traded in the market.

AMS 2010 Subject Classification: 91B30; 91G20; 46A20
Stichworte
Principles of premium calculation; risk measure; deviation measure; convex duality; superhedging
Erscheinungsjahr
2020
Band
638
Seite(n)
17
ISSN
0931-6558
Page URI
https://pub.uni-bielefeld.de/record/2944295

Zitieren

Nendel M, Schmeck MD, Riedel F. A Decompostion of General Premium Principles into Risk and Deviation. Center for Mathematical Economics Working Papers. Vol 638. Bielefeld: Center for Mathematical Economics; 2020.
Nendel, M., Schmeck, M. D., & Riedel, F. (2020). A Decompostion of General Premium Principles into Risk and Deviation (Center for Mathematical Economics Working Papers, 638). Bielefeld: Center for Mathematical Economics.
Nendel, M., Schmeck, M. D., and Riedel, F. (2020). A Decompostion of General Premium Principles into Risk and Deviation. Center for Mathematical Economics Working Papers, 638, Bielefeld: Center for Mathematical Economics.
Nendel, M., Schmeck, M.D., & Riedel, F., 2020. A Decompostion of General Premium Principles into Risk and Deviation, Center for Mathematical Economics Working Papers, no.638, Bielefeld: Center for Mathematical Economics.
M. Nendel, M.D. Schmeck, and F. Riedel, A Decompostion of General Premium Principles into Risk and Deviation, Center for Mathematical Economics Working Papers, vol. 638, Bielefeld: Center for Mathematical Economics, 2020.
Nendel, M., Schmeck, M.D., Riedel, F.: A Decompostion of General Premium Principles into Risk and Deviation. Center for Mathematical Economics Working Papers, 638. Center for Mathematical Economics, Bielefeld (2020).
Nendel, Max, Schmeck, Maren Diane, and Riedel, Frank. A Decompostion of General Premium Principles into Risk and Deviation. Bielefeld: Center for Mathematical Economics, 2020. Center for Mathematical Economics Working Papers. 638.
Alle Dateien verfügbar unter der/den folgenden Lizenz(en):
Copyright Statement:
This Item is protected by copyright and/or related rights. [...]
Volltext(e)
Access Level
OA Open Access
Zuletzt Hochgeladen
2020-06-26T09:58:11Z
MD5 Prüfsumme
2fb0e855a8c92f4ce9f7ee9f09ccd05c

Export

Markieren/ Markierung löschen
Markierte Publikationen

Open Data PUB

Suchen in

Google Scholar