Applying the Proportional Hazard Premium Calculation Principle

DOI10.2143/AST.35.2.2003460zbMath1097.62119OpenAlexW4255030388MaRDI QIDQ5490600

Maria de Lourdes Centeno, João Manuel Andrade e Silva

Publication date: 4 October 2006

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.35.2.2003460

zbMATH Keywords

subexponential distributionsproportional hazard premium principle

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Order statistics; empirical distribution functions (62G30) Nonparametric statistical resampling methods (62G09)

Related Items (8)

ESTIMATION OF RISK MEASURES FROM HEAVY TAILED DISTRIBUTIONS ⋮ Statistical estimate of the proportional hazard premium of loss ⋮ Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions ⋮ Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses ⋮ Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts ⋮ Bias correction for estimated distortion risk measure using the bootstrap ⋮ Capital Allocation Using the Bootstrap ⋮ Market pricing of longevity-linked securities

Cites Work

• Comparing Risk Adjusted Premiums from the Reinsurance Point of View

This page was built for publication: Applying the Proportional Hazard Premium Calculation Principle