A note on Choquet integrals and imprecise market premium functionals

Journal Publication ResearchOnline@JCU
Wood, Jacob;Jang, Lee-Chae
Jacob Wood
Abstract

The concept of imprecise market premiums as a measure of insurance risk is motivated by the goal to represent these imprecise premiums through the use of extended interval numbers. In order [to] achieve this we consider interval-valued Choquet integrals that contain both imprecise distorted probabilities and decumulative distribution functions. In this paper, we present four axioms to describe the bahavior of insurance prices in an imprecise competitive market setting. For these axioms, we prove the interval-valued Choquet integral representation with respect to an imprecise distorted probability and investigate some characterizations of imprecise market premiums.

Journal

Proceedings of Jangjeon Mathematical Society

Publication Name

Proceedings of Jangjeon Mathematical Society

Volume

18

ISBN/ISSN

1598-7564

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Issue

4

Pages Count

8

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Publisher

Jangjeon Mathematical Society

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Publisher Location

Daegu, South Korea

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