Decision principles derived from risk measures

作者：Goovaerts Marc J; Kaas Rob; Laeven Roger J A^*

来源：Insurance: Mathematics and Economics , 2010, 47(3): 294-302.

DOI：10.1016/j.insmatheco.2010.07.004

• Risk measurement
• Decision making
• Axiomatization
• Measure of risk
• Premium principles
• Solvency capital principles
• Risk transfer principles
• Equivalent utility
• Esscher transform
• Exponential utility

In this paper we argue that a distinction exists between risk measures and decision principles Though both are functionals assigning a real number to a random variable we think there is a hierarchy between the two concepts Risk measures operate on the first level quantifying the risk in the situation under consideration while decision principles operate on the second level often being derived from the risk measure We illustrate this distinction with several canonical examples of economic situations encountered in insurance and finance
Special attention is paid to the role of axiomatic characterizations in

• 出版日期2010-12