Abstract
Produces an arbitrage-free risk load by transforming the distribution function. The transformation used is to raise the tail probabilities to a power less than unity. Many desirable properties result. The application to increased limits ratemaking is discussed. Reinsurance Research - Pricing/Contract Design
Volume
17:1
Page
43-56
Year
1995
Categories
Actuarial Applications and Methodologies
Ratemaking
Increased Limits
Actuarial Applications and Methodologies
Ratemaking
Large Loss and Extreme Event Loading
Financial and Statistical Methods
Loss Distributions
Business Areas
Reinsurance
Publications
Insurance: Mathematics & Economics
