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Applying the proportional hazard premium calculation principle
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Orientador(es)
Resumo(s)
We discuss the application of the proportional hazard premium calculation principle in the parametric and non parametric framework. In the parametric approach, we propose a method to calculate the premium of a compound risk when the severity distribution is subexponential. In the non parametric approach, the use of the empirical distribution to calculate the premium using the proportional hazard principle leads to a systematic underestimation of the premium. After studying the bias of the premium calculated using this non-parametric approach we use the bootstrap technique with subsampling to reduce it.
Descrição
Palavras-chave
Proportional Hazard Premium Principle Subexponential Distributions Bootstrap Subsampling
Contexto Educativo
Citação
Centeno, Maria de Lourdes and João Andrade e Silva .(2005). “Applying the proportional hazard premium calculation principle”. Astin Bulletin, Vol. 35, No. 2 : pp. 409-425
Editora
Cambridge University Press