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The Natural Sets of Wang's Premium Principle1

Published online by Cambridge University Press:  29 August 2014

Xian-Yi Wu
Xian-Yi Wu*
Affiliation:
East China Normal University, Shanghai, China
*
Department of Statistics, East China Normal University, 3663 Zhongshan Road (Northern), Shanghai 200062, P.R., China
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Abstract

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Recently, Wang's premium principle (Wang, 1995, 1996) has been discussed by many authors. Considerable attention has been given to the conditions under which Wang's premium principle can be reduced to the standard deviation premium principle. In this paper, we have got two results on this problem. One is that the natural set is a location-scale family if Wang's premium principle can be reduced to the SD premium principle for all surjective distortions. The other is that the natural set is a location-scale family for all power distortions.

Keywords

Premium principledistortion functionproportional hazard transformationnatural setlocation-scale familyLaplace transformation
Type
Workshop
Information
ASTIN Bulletin: The Journal of the IAA , Volume 31 , Issue 1 , May 2001 , pp. 139 - 145
Copyright
Copyright © International Actuarial Association 2001

Footnotes

1

Project 19831020 Supported by National Natural Science Foundation of China.

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