Not On Additivity Of Distortion Operator

Analytical Revision on the Proofs for Comonotone Additvity and Sub-additivity of Distorted Risk Measures Ahmad Salahnejhad Ghalehjooghi 1 hornswoggle: In monetary and insurance markets no-arbitrage argument is an important rail which can be achieved by additivity property in suggested pretend chances measures and price models. In this paper, I hasten provided whatever discussions shutting to revision of previous proofs for addtitivity of dependent comonotone risks and sub-additivity property of exchange agio principles on a lower floor straining. Four delimitate properties of a distortion operator in hand, I amaze bring a complete proof for additivity of comonotone risks in ill-shapen risk measures which may be utilize as a premium principle in insurance. The disclose concept in the proof is that , where : is an increasing continuous go bad and is generalise inverse function of decumulative distribution function. I examined in equal manner the provided pro of of sub-additivity by Wirch and Hardy, 1999 and complete the relative theorems. Keywords: Additivity, sub-additivity, distortion operator, premium principle, decumulative distribution function, correlation secernate, stop-loss order. 1 Introduction By a impartial definition, a risk measure is a function that allocates a non-negative real number to a risk.

many risk measures have been suggested to quantifying financial and insurance risks, but there argon almost important considerations to measure the insurance risks which are not the alike with the financial risk measuring. Financial price models cannot be utili se truly for pricing insurance risks, becaus! e of some fundamental differences between these two types. 1  MSc. Actuarial Science,  netmail: ahmad.salahnejhad@gmail.com  Distorted risk careful have been introduced and developed in order to find a universal framework for pricing financial and insurance risks. great efforts have been made by actuaries and financial economists to build link up to connect financial and insurance pricing...If you want to get a full essay, order it on our website: OrderCustomPaper.com

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