Abstract
In this paper, it is shown how to approximate theoretical premium calculation principles in order to make them useful in practice. The method relies on stochastic extrema in moment spaces and is illustrated with the aid of the exponential principle.
KEYWORDS Premium Calculation Principles, Moment Spaces, S-Convex Orderings, Stochastic Extrema.
Volume
29:2
Page
215-226
Year
1999
Categories
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Traditional Risk Load (Profit Margin);
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Utility Theory
Financial and Statistical Methods
Loss Distributions
Actuarial Applications and Methodologies
Ratemaking
Financial and Statistical Methods
Statistical Models and Methods
Publications
ASTIN Bulletin
