| An Improved Distortion Operator for Insurance Risks |
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| 作者姓名： | GAOJian－wei QIUWan－hua |
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| 作者单位： | GAO Jian-wei，QIU Wan-huaSchool of Economics & Management，Beijing University of Aeronautics and Astronautics，Beijing 100083，China |
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| 摘 要： | 1 IntroductionRecently Wang ( 1995 ,1996 ,2 0 0 0 ) has proposed an approach to insurance pricing using theproportional hazards ( PH) transform.This approach to insurance risks is related to thedual theory of choice under uncertainty of Yaari( 1987) .The distortion pricing continuesto be a subjectfordebate.We do notcover all of the properties of the distortion pricing inthis paper.Instead we concentrate on the distortion function approach,and derive an ex-tensive distortion operatormodel ba…
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| 关 键 词： | 风险 保险 保险估价 改善失真算符 |
An Improved Distortion Operator for Insurance Risks |
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| GAO Jian-wei,QIU Wan-hua.An Improved Distortion Operator for Insurance Risks[J].Journal of Systems Science and Systems Engineering,2002,11(3):296-301. |
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| Authors: | GAO Jian-wei QIU Wan-hua |
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| Abstract: | This paper reviews the distortion function approach developed in the actuarial literature for insurance risks. The main aim of this paper is to derive an extensive distortion operator, and to propose a new premium principle based on this extensive distortion operator. Furthermore, the non-robustness of general distortion operator is also discussed. Examples are provided using Bernoulli, Pareto, Lognormal and Gamma distribution assumptions. |
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| Keywords: | proportional hazards transform distortion operator non-robustness |
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