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Scandinavian Actuarial Journal Volume 1998, 1998 - Issue 2
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Original article

Risk-adjusted credibility premiums using distorted probabilities

Shaun S. Wang Scor Re, One Pierce Place, Itasca, IIinois, 60143, USA
&
Virginia R. Young School of Business, University of Wisconsin-Madison, Madison, Wisconsin, 53706, USA
Pages 143-165 | Received 01 Apr 1996, Published online: 22 Dec 2011

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Félix Belzunce, Alba M. Franco-Pereira & Julio Mulero. (2022) New stochastic comparisons based on tail value at risk measures. Communications in Statistics - Theory and Methods 51:3, pages 767-788.
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Sheng Wu & Yi Zhang. (2019) A class of distortion measures generated from expectile and its estimation. Communications in Statistics - Theory and Methods 48:10, pages 2390-2408.
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J. Zhang, J. Huang & X. Wu. (2017) Bayesian ratemaking under Dirichlet process mixtures. Communications in Statistics - Theory and Methods 46:22, pages 11327-11340.
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Alois Pichler. (2015) Premiums and reserves, adjusted by distortions. Scandinavian Actuarial Journal 2015:4, pages 332-351.
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Thomas Augustin & Georg Schollmeyer. (2021) Comment: On Focusing, Soft and Strong Revision of Choquet Capacities and Their Role in Statistics. Statistical Science 36:2.
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Dominique Guégan & Bertrand K. HassaniDominique Guégan & Bertrand K. Hassani. 2019. Risk Measurement. Risk Measurement 69 114 .
Vicenç Torra, Montserrat Guillen & Miguel Santolino. (2018) Continuous m -dimensional distorted probabilities. Information Fusion 44, pages 97-102.
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G. I. Papayiannis & A. N. Yannacopoulos. (2016) Numerical computation of convex risk measures. Annals of Operations Research 260:1-2, pages 417-435.
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Roberto Casarin, Fabrizio Leisen, German Molina & Enrique ter Horst. (2015) A Bayesian Beta Markov Random Field Calibration of the Term Structure of Implied Risk Neutral Densities. Bayesian Analysis 10:4.
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Alexandru V. Asimit, Yichun Chi & Junlei Hu. (2015) Optimal non-life reinsurance under Solvency II Regime. Insurance: Mathematics and Economics 65, pages 227-237.
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Robert J. Elliott, Tak Kuen Siu & Samuel N. Cohen. (2016) Backward stochastic difference equations for dynamic convex risk measures on a binomial tree. Journal of Applied Probability 52:3, pages 771-785.
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Robert J. Elliott, Tak Kuen Siu & Samuel N. Cohen. (2016) Backward stochastic difference equations for dynamic convex risk measures on a binomial tree. Journal of Applied Probability 52:03, pages 771-785.
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Virginia R. Young. 2014. Wiley StatsRef: Statistics Reference Online. Wiley StatsRef: Statistics Reference Online.
Joseph H.T. Kim & Yongho Jeon. (2013) Credibility theory based on trimming. Insurance: Mathematics and Economics 53:1, pages 36-47.
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Zuo Quan Xu & Xun Yu Zhou. (2013) Optimal stopping under probability distortion. The Annals of Applied Probability 23:1.
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Marek Kaluszka & Michał Krzeszowiec. (2013) AN ITERATIVITY CONDITION FOR THE MEAN-VALUE PRINCIPLE UNDER CUMULATIVE PROSPECT THEORY. ASTIN Bulletin 43:1, pages 61-71.
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John W. Lau, Tak Kuen Siu & Hailiang Yang. (2015) On Bayesian Mixture Credibility. ASTIN Bulletin 36:2, pages 573-588.
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John W. Lau, Tak Kuen Siu & Hailiang Yang. (2015) On Bayesian Mixture Credibility. ASTIN Bulletin 36:2, pages 573-588.
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B. Vandewalle & J. Beirlant. (2006) On univariate extreme value statistics and the estimation of reinsurance premiums. Insurance: Mathematics and Economics 38:3, pages 441-459.
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Andreas Tsanakas. (2004) Dynamic capital allocation with distortion risk measures. Insurance: Mathematics and Economics 35:2, pages 223-243.
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Virginia R. Young. 2004. Encyclopedia of Actuarial Science. Encyclopedia of Actuarial Science.
Andreas Tsanakas & Christopher Barnett. (2003) Risk capital allocation and cooperative pricing of insurance liabilities. Insurance: Mathematics and Economics 33:2, pages 239-254.
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S.David Promislow & Virginia R. Young. (2002) Measurement of relative inequity and Yaari’s dual theory of risk. Insurance: Mathematics and Economics 30:1, pages 95-109.
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Virginia R. Young & Thaleia Zariphopoulou. (2000) Computation of distorted probabilities for diffusion processes via stochastic control methods. Insurance: Mathematics and Economics 27:1, pages 1-18.
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Michel Denuit. (2014) The Exponential Premium Calculation Principle Revisited. ASTIN Bulletin 29:2, pages 215-226.
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Tak Kuen Siu & Hailiang Yang. (1999) Subjective risk measures: Bayesian predictive scenarios analysis. Insurance: Mathematics and Economics 25:2, pages 157-169.
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Virginia R. Young. (1998) Families of update rules for non-additive measures: Applications in pricing risks. Insurance: Mathematics and Economics 23:1, pages 1-14.
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Alexandru V. Asimit, Yichun Chi & Junlei Hu. (2015) Optimal Non-Life Reinsurance under Solvency II Regime. SSRN Electronic Journal.
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Zuo Quan Xu & Xun Yu Zhou. (2011) Optimal Stopping Under Probability Distortion. SSRN Electronic Journal.
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Andreas Tsanakas. (2007) Dynamic Capital Allocation With Distortion Risk Measures. SSRN Electronic Journal.
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