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Insurance premium calculations with anticipated utility theory. (English) Zbl 1060.91083

Summary: This paper examines an insurance or risk premium calculation method called the mean-value-distortion pricing principle in the general framework of anticipated utility theory. Then the relationship between comonotonicity and independence is explored. Two types of risk aversion and optimal reinsurance contracts are also discussed in the context of the pricing principle.

MSC:

91B30 Risk theory, insurance (MSC2010)
91B16 Utility theory
62P05 Applications of statistics to actuarial sciences and financial mathematics
60E15 Inequalities; stochastic orderings
62E10 Characterization and structure theory of statistical distributions
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