Year: 1996
Type: article
Abstract: This paper examines a class of premium functionals which are (i) comonotonic additive and (ii) stochastic dominance preservative. The representation for this class is a transformation of the decumulative distribution function. It has close connections with the recent developments in economic decision theory and non-additive measure theory. Among a few elementary members of this class, the proportional hazard transform seems to stand out as being most plausible for actuaries.
Source: Astin Bulletin
Author: Shaun Wang
Institution: University of Waterloo
Language: English
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W2167326844