A decomposition of general premium principles into risk and deviation

Nendel M, Riedel F, Schmeck MD (2021)
Insurance: Mathematics and Economics 100: 193-209.

Zeitschriftenaufsatz | Veröffentlicht | Englisch
 
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Abstract / Bemerkung
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.
Stichworte
Principle of premium calculation; Risk measure; Deviation measure; Convex duality; Superhedging
Erscheinungsjahr
2021
Zeitschriftentitel
Insurance: Mathematics and Economics
Band
100
Seite(n)
193-209
ISSN
0167-6687
eISSN
1873-5959
Page URI
https://pub.uni-bielefeld.de/record/2957012

Zitieren

Nendel M, Riedel F, Schmeck MD. A decomposition of general premium principles into risk and deviation. Insurance: Mathematics and Economics. 2021;100:193-209.
Nendel, M., Riedel, F., & Schmeck, M. D. (2021). A decomposition of general premium principles into risk and deviation. Insurance: Mathematics and Economics, 100, 193-209. https://doi.org/10.1016/j.insmatheco.2021.05.006
Nendel, M., Riedel, F., and Schmeck, M. D. (2021). A decomposition of general premium principles into risk and deviation. Insurance: Mathematics and Economics 100, 193-209.
Nendel, M., Riedel, F., & Schmeck, M.D., 2021. A decomposition of general premium principles into risk and deviation. Insurance: Mathematics and Economics, 100, p 193-209.
M. Nendel, F. Riedel, and M.D. Schmeck, “A decomposition of general premium principles into risk and deviation”, Insurance: Mathematics and Economics, vol. 100, 2021, pp. 193-209.
Nendel, M., Riedel, F., Schmeck, M.D.: A decomposition of general premium principles into risk and deviation. Insurance: Mathematics and Economics. 100, 193-209 (2021).
Nendel, Max, Riedel, Frank, and Schmeck, Maren Diane. “A decomposition of general premium principles into risk and deviation”. Insurance: Mathematics and Economics 100 (2021): 193-209.

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