No CrossRef data available.
Article contents
Mean-Value Principle under Cumulative Prospect Theory
Published online by Cambridge University Press: 09 August 2013
Abstract
In the paper we introduce a generalization of the mean-value principle under Cumulative Prospect Theory. This new method involves some well-known ways of pricing insurance contracts described in the actuarial literature. Properties of this premium principle, such as translation and scale invariance, additivity for independent risks, risk loading and others are studied.
- Type
- Research Article
- Information
- Copyright
- Copyright © International Actuarial Association 2012