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A new premium calculation principle based on Orlicz norms |
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| Authors: | J Haezendonck M Goovaerts |
| Institution: | Universiteit Antwerpen, UIA, Departement Wiskunde, Universiteitsplein 1, B2610 Wilrijk, Belgium;Katholieke Universiteit Leuven, Dekenstraat 2, B3000 Leuven, Belgium |
| Abstract: | A multiplicative equivalent of the zero utility premium calculation principle is introduced. If the utility function happens to be a normalized Young function the new premium calculation principle is related to Orlicz norms. |
| Keywords: | Premium calculation principle Young function Orlicz norm Orlicz space |
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