A unified approach to the monotone integral-based premium principles under the CPT theory

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Назив:	A unified approach to the monotone integral-based premium principles under the CPT theory
Аутори:	Mihailović Biljana Pap Endre Štrboja Mirjana Simićević Ana
Датум издавања:	2020
Часопис:	Fuzzy Sets and Systems
Сажетак:	© 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
Налази се у колекцијама:	PMF Publikacije/Publications