Abstract
This article introduces a relatively new method for calculating risk load in insurance ratemaking: the use of proportional hazards (PH) transforms. This method is easy to understand, simple to use, and supported by theoretical properties as well as economic justification. After an introduction of the PH-transform method, examples show how it can be used in pricing ambiguous risks, excess-of-loss coverages, increased limits, risk portfolios, and reinsurance treaties.
Volume
LXXXV
Page
940-979
Year
1998
Categories
Actuarial Applications and Methodologies
Ratemaking
Increased Limits
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Probability Transforms
Actuarial Applications and Methodologies
Investments
Business Areas
Reinsurance
Publications
Proceedings of the Casualty Actuarial Society
