Statistical inferences of risk premium under the generalized exponential premium theory

DOI10.3969/J.ISSN.1001-4268.2019.06.002MaRDI QIDQ3307487zbMATH OpenFDO

Authors Mengying du, Limin Wen

Publication date 12 August 2020

Full work available at URL https://doi.org/10.3969/J.ISSN.1001-4268.2019.06.002

zbMATH Keywords

asymptotic normalityBayesian estimationconsistencyexponent premiumnonparametric estimation

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

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Cited in

(8)

• Premium adjustment by generalized adaptive exponential smoothing
• A nonparametric sequential learning procedure for estimating the pure premium
• The Bayes estimation of quantile premium in Pareto risk model
• The nonparametric estimation of risk premium under variance related premium principle
• Statistische Prämienkalkulation nach dem Exponentialprinzip bei unbekannter Risikoverteilung
• The predictor of exponential premium based on copula dependent risk model
• Nonparametric estimation of the risk premium in case of the standard deviation principle
• Change point inferences of risk premium under the exponential premium principle

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