Axiomatic characterization of insurance prices
نویسنده
چکیده
In this paper, we take an axiomatic approach to characterize insurance prices in a competitive market setting. We present four axioms to describe the behavior of market insurance prices. From these axioms it follows that the price of an insurance risk has a Choquet integral representation with respect to a distorted probability (Yaari, 1987). We propose an additional axiom for reducing compound risks. This axiom determines that the distortion function is a power function. © 1997 Elsevier Science B.V. Ko,words: Integral representation; Insurance pricing; Choquet integral
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