Applying the proportional hazard premium calculation principle

Detalhes bibliográficos
Autor(a) principal: Centeno, Maria de Lourdes
Data de Publicação: 2005
Outros Autores: Silva, João Andrade e
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/27612
Resumo: We discuss the application of the proportional hazard premium calculation principle in the parametric and non parametric framework. In the parametric approach, we propose a method to calculate the premium of a compound risk when the severity distribution is subexponential. In the non parametric approach, the use of the empirical distribution to calculate the premium using the proportional hazard principle leads to a systematic underestimation of the premium. After studying the bias of the premium calculated using this non-parametric approach we use the bootstrap technique with subsampling to reduce it.
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spelling Applying the proportional hazard premium calculation principleProportional Hazard Premium PrincipleSubexponential DistributionsBootstrapSubsamplingWe discuss the application of the proportional hazard premium calculation principle in the parametric and non parametric framework. In the parametric approach, we propose a method to calculate the premium of a compound risk when the severity distribution is subexponential. In the non parametric approach, the use of the empirical distribution to calculate the premium using the proportional hazard principle leads to a systematic underestimation of the premium. After studying the bias of the premium calculated using this non-parametric approach we use the bootstrap technique with subsampling to reduce it.Cambridge University PressRepositório da Universidade de LisboaCenteno, Maria de LourdesSilva, João Andrade e2023-04-11T16:23:09Z20052005-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/27612engCenteno, Maria de Lourdes and João Andrade e Silva .(2005). “Applying the proportional hazard premium calculation principle”. Astin Bulletin, Vol. 35, No. 2 : pp. 409-425info: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:RCAAP2023-04-16T01:30:39Zoai:www.repository.utl.pt:10400.5/27612Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:49:32.329112Repositório 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 Applying the proportional hazard premium calculation principle
title Applying the proportional hazard premium calculation principle
spellingShingle Applying the proportional hazard premium calculation principle
Centeno, Maria de Lourdes
Proportional Hazard Premium Principle
Subexponential Distributions
Bootstrap
Subsampling
title_short Applying the proportional hazard premium calculation principle
title_full Applying the proportional hazard premium calculation principle
title_fullStr Applying the proportional hazard premium calculation principle
title_full_unstemmed Applying the proportional hazard premium calculation principle
title_sort Applying the proportional hazard premium calculation principle
author Centeno, Maria de Lourdes
author_facet Centeno, Maria de Lourdes
Silva, João Andrade e
author_role author
author2 Silva, João Andrade e
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Centeno, Maria de Lourdes
Silva, João Andrade e
dc.subject.por.fl_str_mv Proportional Hazard Premium Principle
Subexponential Distributions
Bootstrap
Subsampling
topic Proportional Hazard Premium Principle
Subexponential Distributions
Bootstrap
Subsampling
description We discuss the application of the proportional hazard premium calculation principle in the parametric and non parametric framework. In the parametric approach, we propose a method to calculate the premium of a compound risk when the severity distribution is subexponential. In the non parametric approach, the use of the empirical distribution to calculate the premium using the proportional hazard principle leads to a systematic underestimation of the premium. After studying the bias of the premium calculated using this non-parametric approach we use the bootstrap technique with subsampling to reduce it.
publishDate 2005
dc.date.none.fl_str_mv 2005
2005-01-01T00:00:00Z
2023-04-11T16:23:09Z
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/10400.5/27612
url http://hdl.handle.net/10400.5/27612
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Centeno, Maria de Lourdes and João Andrade e Silva .(2005). “Applying the proportional hazard premium calculation principle”. Astin Bulletin, Vol. 35, No. 2 : pp. 409-425
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
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