Representations of Claims Arising From A Risk Portfolio

This paper is concerned with certain problems which arise in the course of rate fixing for a portfolio comprising a large number of direct risks. This is, of course, the traditional territory of the actuary and there is no lack of papers discussing specific aspects of the subject, such as the analysis of claim frequency, or the fitting of distributions to claim amount data. Equally there is a literature which discusses in general terms the philosophy which it is suggested should be followed by the non-life insurance ratemaker. It is when one tries in practice to follow a logical and consistent path through from portfolio records to rates that gaps in the literature become apparent and it is with covering these gaps, or at least some of them, that the present paper is concerned.