Abstract
In this article I introduce a relatively new method for calculating risk load in insurance ratemaking: the use of proportional hazards (PH) transforms. This method is easy to understand, simple to use, and supported by theoretical properties as well as economic justification. After an introduction of the PH-transform method, I show through examples how it can be used in pricing ambiguous risks, excess-of-loss coverages, increased limits, risk portfolios and reinsurance treaties.
Volume
LXXXV
Year
1998
Categories
RPP1
Publications
Proceedings of the Casualty Actuarial Society
