Título: A Method for constructing and interpreting some weighted premium principles / Antonia Castaño-Martínez...[Et al.]
Notas: Sumario: We present a method for constructing and interpreting weighted premium principles. The method is based on modifying the underlying risk distribution in such a way that the risk-adjusted expected value (or premium) is greater than the expected value of some conveniently chosen function of claims, which defines the insurer's perception of the risk. Under some assumptions on the function of claims, the method produces distortion premium principles. We provide several examples under different assumptions on the claim arrival process and different functions of claims, including record claims and kth record claims.
Registros relacionados: En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/09/2020 Volumen 50 Número 3 - septiembre 2020 , p. 1037-1064
Autores secundários: Castaño-Martínez, Antonia
Outras classificações: 6
Derechos: In Copyright (InC): http://rightsstatements.org/vocab/InC/1.0/