Log-supermodularity of weight functions, ordering weighted losses, and the loading monotonicity of weighted premiums

DOI10.1016/j.insmatheco.2010.11.005zbMath1218.91094arXiv1008.3427OpenAlexW2088472225MaRDI QIDQ2276227

Ričardas Zitikis, Ying Wang, Hristo S. Sendov

Publication date: 1 August 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1008.3427

zbMATH Keywords

supermodularitysubmodularitylikelihood ratio orderdecision under uncertaintyEsscher premiumweighted distributioninsurance premiumconditional tail expectationdistortion premiumtotal positivity of order 2weighted premiumlog-supermodularityKamps premiumWang premium

Mathematics Subject Classification ID

Related Items (4)

Loading monotonicity of weighted premiums, and total positivity properties of weight functions ⋮ A new variability order based on tail-heaviness ⋮ Probability inequalities for weighted distributions ⋮ Discussion on “Size-Biased Risk Measures of Compound Sums,” by Michel Denuit, January 2020

Cites Work

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• Risk measures, distortion parameters, and their empirical estimation
• Risk Measures and Comonotonicity: A Review
• Minimizing a Submodular Function on a Lattice
• On a class of premium principles including the Esscher principle
• Prospect Theory, Indifference Curves, and Hedging Risks
• Weighted Pricing Functionals With Applications to Insurance
• Some Concepts of Dependence

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