NDLI: Applying the Proportional Hazard Premium Calculation Principle

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Applying the Proportional Hazard Premium Calculation Principle

Content Provider	Scilit
Author	de, Lourdes Centeno Maria Andrade, E. Silva João
Copyright Year	2005
Description	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.
Related Links	https://www.cambridge.org/core/services/aop-cambridge-core/content/view/8DE732B7A769902D40CD30AC70285406/S0515036100014318a.pdf/div-class-title-applying-the-proportional-hazard-premium-calculation-principle-div.pdf
Ending Page	425
Page Count	17
Starting Page	409
ISSN	05150361
e-ISSN	17831350
DOI	10.1017/s0515036100014318
Journal	ASTIN Bulletin
Issue Number	2
Volume Number	35
Language	English
Publisher	Cambridge University Press (CUP)
Publisher Date	2005-11-01
Access Restriction	Open
Subject Keyword	ASTIN Bulletin Mathematical Social Sciences Proportional Hazard Premium Principle Subexponential Distributions
Content Type	Text
Resource Type	Article
Subject	Finance Accounting Economics and Econometrics

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