Abstract
Dr. Wang has provided a good case for the use of the mean of the PH-transform of a loss distribution as the risk-loaded premium. I would like to comment on several issues: 1) the need for consistency of the adjustment among contracts; 2) alternative transforms; 3) calibration; 4) the need for arbitrage free methods; 5) links to other premium loading methods; 6) minimum rates on line; and 7) connecting to Yaari and Schmeidler.
Volume
LXXXV
Page
980-990
Year
1998
Categories
Actuarial Applications and Methodologies
Ratemaking
Increased Limits
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Probability Transforms
Actuarial Applications and Methodologies
Investments
Business Areas
Reinsurance
Publications
Proceedings of the Casualty Actuarial Society
