Ordering of risks under PH-transforms

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Abstract

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.

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APA

Wang, S. (1996). Ordering of risks under PH-transforms. Insurance: Mathematics and Economics, 18(2), 109–114. https://doi.org/10.1016/0167-6687(95)00031-3

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