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| Gianni Bosi and Magalì Zuanon |
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| ''A note on the axiomatization of Wang premium principle by means of continuity considerations'' |
| ( 2012, Vol. 32 No.4 ) |
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| The so called "Wang premium" is the well known principle of premium calculation expressed by means of the Choquet integral with respect to a (concave) distorted probability. In this paper we present a simple axiomatization of a sublinear Wang premium which is based on considerations related to the uniform continuity of a comonotone subadditive and monotone premium functional on the space of all bounded risks on a probability space. |
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| Keywords: Wang premium principle, widely translation invariant
functional, Choquet integral, distorted
probability, comonotone subadditive functional |
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| Manuscript Received : Sep 01 2012 | | Manuscript Accepted : Nov 19 2012 |
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