Publication
Applying the proportional hazard premium calculation principle
| dc.contributor.author | Centeno, Maria de Lourdes | |
| dc.contributor.author | Silva, João Andrade e | |
| dc.date.accessioned | 2023-04-11T16:23:09Z | |
| dc.date.available | 2023-04-11T16:23:09Z | |
| dc.date.issued | 2005 | |
| dc.description.abstract | 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. | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.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 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10400.5/27612 | |
| dc.language.iso | eng | pt_PT |
| dc.publisher | Cambridge University Press | pt_PT |
| dc.subject | Proportional Hazard Premium Principle | pt_PT |
| dc.subject | Subexponential Distributions | pt_PT |
| dc.subject | Bootstrap | pt_PT |
| dc.subject | Subsampling | pt_PT |
| dc.title | Applying the proportional hazard premium calculation principle | pt_PT |
| dc.type | journal article | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | article | pt_PT |