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Ordering of risks under PH-transforms. (English) Zbl 0859.90056

Summary: The author recently proposed a premium calculation principle based on proportional hazards (PH) transforms. It is shown that this premium principle resembles the risk-neutral valuation in financial economics, but differs from the traditional utility theory approach. The PH-transform does preserve the stop-loss order of risks which is shared by all risk-averters with increasing concave utility functions.

MSC:

91B30 Risk theory, insurance (MSC2010)
62P05 Applications of statistics to actuarial sciences and financial mathematics
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