A family of premium principles based on mixtures of TVaRs

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URI: http://hdl.handle.net/10498/33441
DOI: 10.1016/J.INSMATHECO.2016.07.006
ISSN: 0167-6687
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2016Department
Estadística e Investigación OperativaAbstract
Risk-adjusted distributions are commonly used in actuarial science to
de ne premium principles. In this paper, we claim that an appropriate
risk-adjusted distribution, besides of satisfying other desirable properties,
should be well-behaved under conditioning with respect to the
original risk distribution. Based on a sequence of such risk-adjusted
distributions, we introduce a family of premium principles that gradually
incorporate the degree of risk-aversion of the insurer in the safety
loading. Members of this family are particular distortion premium principles
than can be represented as mixtures of TVaRs, where the weights
in the mixture re
ect the attitude toward risk of the insurer. We make
a systematic study of this family of premium principles.
Subjects
premium principle; risk measure; order statistics; distortion function.Collections
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