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Characterization theorems for scale invariance property of insurance premium calculation principles. (English) Zbl 1389.91048

Summary: Characterization theorems for scale invariance property of insurance premium calculation principles are presented. Theorems formulated in a form of necessary and sufficient conditions for the mentioned property to be hold. Conditions are imposed on the auxiliary functions with the help of which several methods of pricing of insurance contracts are defined. Presented theorems cover cases of mean value, insurer equivalent utility, customer equivalent utility, and Swiss premium calculation principles.

MSC:

91B30 Risk theory, insurance (MSC2010)
62P05 Applications of statistics to actuarial sciences and financial mathematics
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References:

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