Risk measures and insurance premium principles

Zinoviy Landsman, Michael Sherris

Research output: Contribution to journalArticlepeer-review


Risk measures based on distorted probabilities have been recently developed in actuarial science and applied to insurance rate making. We propose a risk measure that has the properties of risk aversion and diversification, is additive for losses and consistent in its treatment of insurance and investment risks. We show that the risk measure based on distorted probabilities is not consistent in its ordering of insurance and investment risks.

Original languageEnglish
Pages (from-to)103-115
Number of pages13
JournalInsurance: Mathematics and Economics
Issue number1
StatePublished - 20 Aug 2001


  • D81
  • Distortion function
  • Diversification
  • G11
  • G22
  • Premium principles
  • Risk measure

ASJC Scopus subject areas

  • Statistics and Probability
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty


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