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The Use of the Premium Calculation Principles in Actuarial Pricing Based Scenario in a Coherent Risk Measure
Keywords
Distortion functions, Coherent risk measure, Risk Premium, Insurance
Abstract
Calculation principles enable the development of the actuarial pricing process in the insurance sector both of life and of non-life. Among all principles assessed in this article we have chosen those verifying the so-called coherency criterion (Artzner, P. Delbaen, F. Eber, JM. Heath, D. (1999)), performing the theoretical-mathematic reasoning of such coherency criterion for all of them. Once those principles, more specifically two – the principle of net premium and the principle based on the distortion function in the form of power - are applied for the calculation of the risk premium both to a general and specific extent they will be applied to the Makeham Law for insurances with death cover: the whole life insurance.