On robust premium principles

DOI10.1016/0167-6687(86)90021-1MaRDI QIDQ1086964zbMATH OpenOpenAlexFDO

Authors B. George

Publication date 1986

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-6687(86)90021-1

zbMATH Keywords

expectation principleexponential principleextremely large claimsPremium principlesrobustnessstandard deviation principleSwiss premium principlevariance principlezero utility principle

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Review text

Premium principles are investigated with respect to their behavior on extremely large claims. A measure for describing the reaction on such a large claim is defined and calculated for various principles. Modified principles are introduced which are robust to large claims.

Recommendations

• Properties of premium calculation principles
• Applying robust scale \(M\)-estimators to compute creditability premiums in the large claim case.
• scientific article; zbMATH DE number 3850337
• The Dutch premium principle
• Premium Calculation for Fat-tailed Risk

Cites work

• A new premium calculation principle based on Orlicz norms
• Eine Charakterisierung des Standardabweichungsprinzips
• scientific article; zbMATH DE number 3844885 (Why is no real title available?)
• scientific article; zbMATH DE number 3926045 (Why is no real title available?)
• scientific article; zbMATH DE number 3714794 (Why is no real title available?)
• scientific article; zbMATH DE number 3502670 (Why is no real title available?)
• On convex principles of premium calculation
• On the representation of additive principles of premium calculation
• The Influence Curve and Its Role in Robust Estimation

Cited in

(9)

• A note on experience rating, reinsurance and premium principles
• On the robustness of premium principles
• scientific article; zbMATH DE number 3850337 (Why is no real title available?)
• Large claims in credibility
• Pricing q-forward contracts: an evaluation of estimation window and pricing method under different mortality models
• The zero utility principle for scale families of risk distributions
• Pricing risk when distributions are fat tailed
• Premium Calculation for Fat-tailed Risk
• A Bayesian analysis of a simultaneous equations model for insurance rate-making

This page was built for publication: On robust premium principles

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1086964)