Applying the proportional hazard premium calculation principle
نویسندگان
چکیده
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.
منابع مشابه
Physical Premium Principle: A New Way for Insurance Pricing
In our previous work we suggested a way for computing the non-life insurance premium. The probable surplus of the insurer company assumed to be distributed according to the canonical ensemble theory. The Esscher premium principle appeared as its special case. The difference between our method and traditional principles for premium calculation was shown by simulation. Here we construct a theoret...
متن کاملDemand of Insurance under the Cost-of-Capital Premium Calculation Principle
We study the optimal insurance design problem. This is a risk sharing problem between an insured and an insurer. The main novelty in this paper is that we study this optimization problem under a risk-adjusted premium calculation principle for the insurance cover. This risk-adjusted premium calculation principle uses the cost-of-capital approach as it is suggested (and used) by the regulator and...
متن کاملThe Exponential Premium Calculation Principle Revisited
In this paper, it is shown how to approximate theoretical premium calculation principles in order to make them useful in practice. The method relies on stochastic extrema in moment spaces and is illustrated with the aid of the exponential principle.
متن کاملThe impact of the introduction of premiums into a SCHIP program.
This paper examines the introduction of premiums into the SCHIP program in Kentucky. Kentucky introduced a $20 monthly premium for SCHIP coverage for children with family incomes between 151 percent and 200 percent of the federal poverty level in December 2003. Administrative data between 2001 and 2004 is used to estimate a Cox proportional hazard model that predicts enrollment duration in this...
متن کاملOn Univariate Extreme Value Statistics and the Estimation of Reinsurance Premiums
Overview (Re)insurance premium calculation Net premium principle Wang's premium principle applied to excess-of-loss reinsurance setting Extreme value statistics Motivation Extreme value theory (first order framework) Estimating reinsurance premiums Finite sample behavior Simulated data (Fréchet, Burr) Reinsurance premiums (net premium, dual-power transform) X non-negative random variable denoti...
متن کامل