Abstract

Different Degrees of Information and their Implementation for Risk Measures

Winfried Schott

Universität Hamburg

Risk is commonly modelled by methods which been developed in probability theory. Risk ordering which is essential for pricing insurance contracts then is based on criteria which are are given by the probability distributions. As different degrees of information about the relevant probabilities are not taken into account concluding risk orderings might not be sensible. It is investigated how different degrees of information can be included in stochastic models; alternative models like fuzzy methods are also considered.