This paper examines a class of premium functionals which are (i) comonotonic additive and (ii) stochastic dominance preservative. The representation for this class is a transformation of the decumulative distribution function. It has close connections with the recent developments in economic decision theory and non-additive measure theory. Among a few elementary members of this class, the proportional hazard transform seems to stand out as being most plausible for actuaries.
In addition, a class of premium functions which are comonotonicity additive and stochastic dominance preservative were studied in REF .
Premium Calculation by Transforming the Layer Premium Density
Astin Bulletin
Economics