Abstract:

On the basis of using Copula function to insurance premium principles and risk measure theory with considering dependence of portfolio investment  risks based on modified certainty equivalent risk measure, a Copula based, particularly when detailed mixed distributions are given in individual risks, modified premium principles and certainty equivalent risk measure approach was proposed. Properties of the proposed approach were proved, and the effection was demonstrated by simulated data.

Key words: risk measure, insurance premium principles, modified certainty equivalent, mixed distribution, Copula function