论文标题
将一般保费原则分解为风险和偏差
A decomposition of general premium principles into risk and deviation
论文作者
论文摘要
我们在无概率的环境中为一般保费原理提供了一种公理方法，该原理允许骑士不确定性。每个高级原则都是风险度量的总和，作为期望值的概括和偏差度量，作为方差的概括。在此类分解中，可以唯一地识别最大风险度量和最小的偏差度量。我们展示了如何将高级原则的先前公理化嵌入到我们更一般的框架中。我们讨论了凸高级原则的双重表示，并研究了溢价原则与交易保险合同的金融市场的一致性。
We provide an axiomatic approach to general premium principles in a probability-free setting that allows for Knightian uncertainty. Every premium principle is the sum of a risk measure, as a generalization of the expected value, and a deviation measure, as a generalization of the variance. One can uniquely identify a maximal risk measure and a minimal deviation measure in such decompositions. We show how previous axiomatizations of premium principles can be embedded into our more general framework. We discuss dual representations of convex premium principles, and study the consistency of premium principles with a financial market in which insurance contracts are traded.
