NDLI: Applying the proportional hazard premium calculation principle

Content Provider	Semantic Scholar
Author	Centeno, Maria De Lourdes Silva, João Andrade E
Copyright Year	2004
Abstract	We discuss the application of the proportional hazard premium calculation principle in the parametric and non parametric framework. In the parametric approach, we propose a method to calculate the premium of a compound risk when the severity distribution is subexponential. In the non parametric approach, the use of the empirical distribution to calculate the premium using the proportional hazard principle leads to a systematic underestimation of the premium. After studying the bias of the premium calculated using this non-parametric approach we use the bootstrap technique with subsampling to reduce it.
File Format	PDF HTM / HTML
Alternate Webpage(s)	http://www.actuaries.org/ASTIN/Colloquia/Bergen/Centeno_Andrade.pdf
Alternate Webpage(s)	https://www.cambridge.org/core/services/aop-cambridge-core/content/view/8DE732B7A769902D40CD30AC70285406/S0515036100014318a.pdf/applying_the_proportional_hazard_premium_calculation_principle.pdf
Language	English
Access Restriction	Open
Content Type	Text
Resource Type	Article

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