The Orlicz premium principle under uncertainty
Abstract The Orlicz premium principle under uncertainty is investigated. It is proved that in this setting the premium for any risk is uniquely determined. Moreover, several important properties of the premium are characterized.
Authors
- Jacek Chudziak (ORCID: https://orcid.org/0000-0002-6368-5938)
- Patryk Rela
Institutions
- Institute of Mathematics (PL)
- University of Rzeszów (PL)
Publication Details
- Journal
- Revista de la Real Academia de Ciencias Exactas Físicas y Naturales Serie A Matemáticas
- Published
- 2025-08-09
- DOI
- https://doi.org/10.1007/s13398-025-01778-1
- Citations
- 1
- Primary Topic
- Risk and Portfolio Optimization
- Type
- article
- Field-Weighted Citation Impact
- 2.11