Comparing risk adjusted premiums from the reinsurance point of view

Detalhes bibliográficos
Autor(a) principal: Silva, João Andrade e
Data de Publicação: 1998
Outros Autores: Centeno, Maria de Lourdes
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/27625
Resumo: In this paper we compare, from the point of view of reinsurance, the several risk adjusted premium calculation principles considered in Wang (1996b). We conclude that, with the exception of the proportional hazard (PH) premium calculation principle, all the others behave in a way similar to the expected value principle. We prove that the stop loss reinsurance premium when calculated using the PH premium principle gives a higher premium than any of the other transforms, provided that the priority is big enough. We observe a similar behaviour with respect to excess of loss reinsurance in all the examples given. We also study the behaviour of the adjustment coefficient, both from the insurer's and the reinsurer's point of view as functions of the priority, when the PH principle is used as opposed to the expected value principle.
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spelling Comparing risk adjusted premiums from the reinsurance point of viewPH-transformRisk Adjusted PremiumReinsuranceAdjustment CoefficientIn this paper we compare, from the point of view of reinsurance, the several risk adjusted premium calculation principles considered in Wang (1996b). We conclude that, with the exception of the proportional hazard (PH) premium calculation principle, all the others behave in a way similar to the expected value principle. We prove that the stop loss reinsurance premium when calculated using the PH premium principle gives a higher premium than any of the other transforms, provided that the priority is big enough. We observe a similar behaviour with respect to excess of loss reinsurance in all the examples given. We also study the behaviour of the adjustment coefficient, both from the insurer's and the reinsurer's point of view as functions of the priority, when the PH principle is used as opposed to the expected value principle.Cambridge University PressRepositório da Universidade de LisboaSilva, João Andrade eCenteno, Maria de Lourdes2023-04-13T15:30:36Z19981998-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/27625engSilva, J. Andrade e; and Maria de Lourdes Centeno .(1998). “Comparing risk adjusted premiums from the reinsurance point of view”. ASTIN BULLETIN, Vol. 28, No. 2: pp. 221-239. (Search PDF in 2023).10.2143/AST.28.2.519067info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-04-16T01:30:43Zoai:www.repository.utl.pt:10400.5/27625Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:49:32.917696Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Comparing risk adjusted premiums from the reinsurance point of view
title Comparing risk adjusted premiums from the reinsurance point of view
spellingShingle Comparing risk adjusted premiums from the reinsurance point of view
Silva, João Andrade e
PH-transform
Risk Adjusted Premium
Reinsurance
Adjustment Coefficient
title_short Comparing risk adjusted premiums from the reinsurance point of view
title_full Comparing risk adjusted premiums from the reinsurance point of view
title_fullStr Comparing risk adjusted premiums from the reinsurance point of view
title_full_unstemmed Comparing risk adjusted premiums from the reinsurance point of view
title_sort Comparing risk adjusted premiums from the reinsurance point of view
author Silva, João Andrade e
author_facet Silva, João Andrade e
Centeno, Maria de Lourdes
author_role author
author2 Centeno, Maria de Lourdes
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Silva, João Andrade e
Centeno, Maria de Lourdes
dc.subject.por.fl_str_mv PH-transform
Risk Adjusted Premium
Reinsurance
Adjustment Coefficient
topic PH-transform
Risk Adjusted Premium
Reinsurance
Adjustment Coefficient
description In this paper we compare, from the point of view of reinsurance, the several risk adjusted premium calculation principles considered in Wang (1996b). We conclude that, with the exception of the proportional hazard (PH) premium calculation principle, all the others behave in a way similar to the expected value principle. We prove that the stop loss reinsurance premium when calculated using the PH premium principle gives a higher premium than any of the other transforms, provided that the priority is big enough. We observe a similar behaviour with respect to excess of loss reinsurance in all the examples given. We also study the behaviour of the adjustment coefficient, both from the insurer's and the reinsurer's point of view as functions of the priority, when the PH principle is used as opposed to the expected value principle.
publishDate 1998
dc.date.none.fl_str_mv 1998
1998-01-01T00:00:00Z
2023-04-13T15:30:36Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/27625
url http://hdl.handle.net/10400.5/27625
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Silva, J. Andrade e; and Maria de Lourdes Centeno .(1998). “Comparing risk adjusted premiums from the reinsurance point of view”. ASTIN BULLETIN, Vol. 28, No. 2: pp. 221-239. (Search PDF in 2023).
10.2143/AST.28.2.519067
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Cambridge University Press
publisher.none.fl_str_mv Cambridge University Press
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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