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Advisor(s)
Abstract(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.
Description
Keywords
Proportional Hazard Premium Principle Subexponential Distributions Bootstrap Subsampling
Pedagogical Context
Citation
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
Publisher
Cambridge University Press