Actuarial Premium Principles

Marc J. Goovaerts; Jan Dhaene; Omar Rachedi

doi:10.1002/9780470061602.eqf21003

Actuarial Premium Principles

Marc J. Goovaerts
, Jan Dhaene
, Omar Rachedi

Producció científica: Capítol de llibre › Capítol › Avaluat per experts

2 Cites (Scopus)

Resum

An actuarial premium principle is a method for assigning an appropriate price for an insurance policy. Different classes of premium calculation principles emerge from different axiomatic settings. Several premium principles are presented, with an emphasis on the theories of choice under risk underlying them. Two approaches for deriving premium principles are provided: the first is based on Bühlmann's economic principle, while the second is based on a generalized Markov inequality.

Idioma original	Anglès
Títol de la publicació	Encyclopedia of Quantitative Finance
Editor	Wiley
Pàgines	1-6
Nombre de pàgines	6
ISBN (electrònic)	9780470061602
ISBN (imprès)	9780470057568
DOIs	https://doi.org/10.1002/9780470061602.eqf21003
Estat de la publicació	Publicada - 15 de maig 2010
Publicat externament	Sí

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10.1002/9780470061602.eqf21003

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abstract = "An actuarial premium principle is a method for assigning an appropriate price for an insurance policy. Different classes of premium calculation principles emerge from different axiomatic settings. Several premium principles are presented, with an emphasis on the theories of choice under risk underlying them. Two approaches for deriving premium principles are provided: the first is based on B{\"u}hlmann's economic principle, while the second is based on a generalized Markov inequality.",

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AU - Dhaene, Jan

AU - Rachedi, Omar

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AB - An actuarial premium principle is a method for assigning an appropriate price for an insurance policy. Different classes of premium calculation principles emerge from different axiomatic settings. Several premium principles are presented, with an emphasis on the theories of choice under risk underlying them. Two approaches for deriving premium principles are provided: the first is based on Bühlmann's economic principle, while the second is based on a generalized Markov inequality.

KW - axiomatization

KW - esscher premium

KW - expected utility

KW - exponential premium

KW - Markov inequality

KW - premium principles

KW - risk measurement

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Actuarial Premium Principles

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SDG de les Nacions Unides

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