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Applying the Proportional Hazard Premium Calculation Principle

Published online by Cambridge University Press:  17 April 2015

Lourdes Centeno Maria de  and
e Silva João Andrade
Lourdes Centeno Maria de
Affiliation:
CEMAPRE, ISEG, Technical University of Lisbon, Rua do Quelhas, 2, 1200 781 Lisbon, Portugal, E-mail: lcenteno@iseg.utl.pt
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Abstract

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In this paper we discuss the application of the proportional hazard premium calculation principle.

In Section 2 we propose a method to calculate the proportional hazard premium of a compound risk when the severity distribution is subexponential.

In Section 3 we use the empirical distribution to calculate the premium when the proportional hazard principle is applied, which leads to a systematic underestimation of the premium. After studying the bias of the premium calculated using this non-parametric approach we take advantage of the bootstrap technique with subsampling to reduce it.

Keywords

Proportional hazard premium principlesubexponential distributionsbootstrapsubsampling
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 35 , Issue 2 , November 2005 , pp. 409 - 425
Copyright
Copyright © ASTIN Bulletin 2005

References

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