Premium evaluation for different loss distributions using utility theory

• Autorzy: Harman Preet Singh Kapoor , Kanchan Jain
• 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.

• Wydawca: Faculty of Mathematics, Computer Science and Econometrics, University of Zielona Góra
• Czasopismo: Discussiones Mathematicae Probability and Statistics
• Rocznik: 2011
• Tom: 31
• Numer: 1-2
• Strony: 41-58

Daty

wydano

2011

otrzymano

2011-03-11

Twórcy

autor

Harman Preet Singh Kapoor

• Department of Statistics, Panjab University, Chandigarh-160014, India

autor

Kanchan Jain

• Department of Statistics, Panjab University, Chandigarh-160014, India

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Identyfikatory

DOI

10.7151/dmps.1137