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https://open.uns.ac.rs/handle/123456789/20618
Title: | A unified approach to the monotone integral-based premium principles under the CPT theory | Authors: | Mihailović Biljana Pap Endre Štrboja Mirjana Simićević Ana |
Issue Date: | 2020 | Journal: | Fuzzy Sets and Systems | Abstract: | © 2020 Elsevier B.V. We consider the relationship between different types of the monotone integral-based premium principles. As a common frame for the CPT premium principle and the mean premium principle, the CPT-like integral-based premium principle is introduced and characterized. The Jensen-type inequalities for the Choquet integral and the CPT-like premium principle on the class of non-negative risks are proven. We establish conditions under which the Jensen-Steffensen-type inequalities for the CPT premium principle and the CPT-like premium principle hold for risks with finite range. | URI: | https://open.uns.ac.rs/handle/123456789/20618 | ISSN: | 0165-0114 | DOI: | 10.1016/j.fss.2020.02.006 |
Appears in Collections: | PMF Publikacije/Publications |
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