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Insurance Premium Calculations with Anticipated Utility Theory

Published online by Cambridge University Press:  29 August 2014

Cuncun Luan
Cuncun Luan*
Affiliation:
Department of Mathematics, Nanjing University, Nanjing, China
*
Cuncun Luan Department of Mathematics, Nanjing University, Nanjing 210093, P.R., China, Email:[email protected]
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Abstract

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This paper examines an insurance or risk premium calculation method called the mean-value-distortion pricing principle in the general framework of anticipated utility theory. Then the relationship between comonotonicity and independence is explored. Two types of risk aversion and optimal reinsurance contracts are also discussed in the context of the pricing principle.

Keywords

Mean-value-distortion pricing principleanticipated utility theorycomonotonicityrisk aversionand optimal reinsurance
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 31 , Issue 1 , May 2001 , pp. 23 - 35
Copyright
Copyright © International Actuarial Association 2001

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