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A family of premium principles based on mixtures of TVaRs

Miguel Angel Sordo Diaz (Universidad de Cadiz, Spain)

12 mai 2017  -  14:00-15:00, salle Extranef 118.1

Risk-adjusted distributions are commonly used in actuarial science to define premium principles. In this paper, we claim that an appropriate risk-adjusted distribution, besides of satisfying other desirable properties, should be well-behaved under conditioning with respect to the original risk distribution. Based on a sequence of such risk-adjusted distributions, we introduce a family of premium principles that gradually incorporate the degree of risk-aversion of the insurer in the safety loading. Members of this family are particular distortion premium principles than can be represented as mixtures of TVaRs, where the weights in the mixture reect the attitude toward risk of the insurer. We make a systematic study of this family of premium principles. This is joint work with A. Castaño and G. Pigueiras (University of Cádiz, Spain)

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