A unified approach to the monotone integral-based premium principles under the CPT theory

We consider the relationship between different types of the monotone integral-based premium principles. As a common frame for the CPT premium principle and the mean premium principle, the CPT-like integral-based premium principle is introduced and characterized. The Jensen-type inequalities for the...

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Veröffentlicht in:	Fuzzy sets and systems 2020-11, Vol.398, p.78-97
Hauptverfasser:	Mihailović, Biljana, Pap, Endre, Štrboja, Mirjana, Simićević, Ana
Format:	Artikel
Sprache:	eng
Schlagworte:	Choquet integral Computer Science Computer Science, Theory & Methods CPT-like premium principle Fuzzy measure Jensen-Steffensen-type inequality Mathematics Mathematics, Applied Physical Sciences Premium principle Science & Technology Statistics & Probability Technology
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Zusammenfassung:	We consider the relationship between different types of the monotone integral-based premium principles. As a common frame for the CPT premium principle and the mean premium principle, the CPT-like integral-based premium principle is introduced and characterized. The Jensen-type inequalities for the Choquet integral and the CPT-like premium principle on the class of non-negative risks are proven. We establish conditions under which the Jensen-Steffensen-type inequalities for the CPT premium principle and the CPT-like premium principle hold for risks with finite range.
ISSN:	0165-0114 1872-6801
DOI:	10.1016/j.fss.2020.02.006