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2011 | 31 | 1-2 | 41-58
Tytuł artykułu

Premium evaluation for different loss distributions using utility theory

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
For any insurance contract to be mutually advantageous to the insurer and the insured, premium setting is an important task for an actuary. The maximum premium ($P_{max})$ that an insured is willing to pay can be determined using utility theory. The main focus of this paper is to determine $P_{max}$ by considering different forms of the utility function. The loss random variable is assumed to follow different Statistical distributions viz Gamma, Beta, Exponential, Pareto, Weibull, Lognormal and Burr. The theoretical expressions have been derived and the results have also been depicted graphically for some values of distribution parameters.
Słowa kluczowe
Rocznik
Tom
31
Numer
1-2
Strony
41-58
Opis fizyczny
Daty
wydano
2011
otrzymano
2011-03-11
Twórcy
  • Department of Statistics, Panjab University, Chandigarh-160014, India
autor
  • Department of Statistics, Panjab University, Chandigarh-160014, India
Bibliografia
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  • [3] K. Borch, Economics of Insurance (North-Holland, Amsterdam, 1990).
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  • [5] D.C.M. Dickson, Insurance Risk and Ruin, International Series on Actuarial Science (Cambridge University Press, 2005).
  • [6] M.J. Goovaerts, F. De Vijlder and J. Haezendonck, Insurance Premium: Theory And Application (North-Holland, Amsterdam, 1984).
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  • [10] R. Kaas, M. Goovaerts, J. Dhaene and M. Denuit, Actuarial Theory For Dependent Risks: Measure, Orders And Models, Vol. 10 (John Wiley, 2005).
  • [11] J. Von Neumann and O. Morgenstern, Theory of Games and Economic Behaviour (Princeton University Press, 1944).
  • [12] H.H. Panjer, (ed.) Financial Economics, with Applications to Investments, Insurance and Pensions. Actuarial Foundation (Schaumburg, IL, 1998).
  • [13] J.W. Pratt, Risk aversion in the small and in the large, Econometrica 32 (1964) 122-136.
  • [14] U. Schmidt, Axiomatic Utility Theory under Risk, Lecture Notes in Economics and Mathematical Systems, 461 (Springer-Verlag, Berlin, 1998).
  • [15] C.L. Trowbridge, Fundamental Concepts of Actuarial Sciences. Actuarial Education and Research Fund (Itasca, IL, 1989).
  • [16] S. Wang, Insurance pricing and increased limits ratemaking by proportional hazard transforms, Insurance: Mathematics and Economics 17 (1995) 43-54.
  • [17] S. Wang, Premium calculation by transforming the Layer premium density, ASTIN Bulletin 26 (1996) 71-92.
  • [18] S. Wang and V.R. Young, Ordering risks: utility theory versus Yaari's dual theory of risk. IIPR Research Report 97-08 (University of Waterloo, Waterloo, 1997).
  • [19] D. Zwillinger and S. Kokoska, CRC Standard Probability and Statistics Tables and Formulae (Chapman and Hall, 2000).
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1137
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