The so called "Wang" is the well known perinciple 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 of a sublinear Wang 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 common probability space.
A note on the axiomatization of Wang premium principle by means of continuity considerations
ZUANON, Magali Ernestine;
2012-01-01
Abstract
The so called "Wang" is the well known perinciple 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 of a sublinear Wang 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 common probability space.File in questo prodotto:
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