Distribution-free comparison of pricing principles

Given the mean, coefficient of variation and finite range of a risk, we det ermine the stop-loss ordered extremal prices for four plausible pricing pri nciples, namely the exponential principle, a new truncated linear zero-util ity principle, the PH-transform principle and the Dutch principle. If in th e extreme situation of a maximum coefficient of variation, the price of a r isk should be maximum and uniquely defined, then the obtained distribution- free prices can be made parameter-free and compared. It is shown that the m aximum distribution-free truncated linear zero-utility prices coincide with the minimum distribution-free PH-transform and Dutch prices. (C) 2001 Else vier Science B.V. All rights reserved.