Abstract
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.
Keywords: Proportional hazard premium principle; subexponential distributions; bootstrap; subsampling
Volume
Bergen, Norway
Year
2004
Categories
Financial and Statistical Methods
Statistical Models and Methods
Boot-Strapping and Resampling Methods
Financial and Statistical Methods
Statistical Models and Methods
Sampling
Financial and Statistical Methods
Loss Distributions
Actuarial Applications and Methodologies
Ratemaking
Publications
ASTIN Colloquium
