Implicit loadings in life insurance ratemaking and coherent risk measures

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<title>Implicit loadings in life insurance ratemaking and coherent risk measures</title>
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<namePart>Lozano, Cristina</namePart>
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<namePart>Vilar Zanón, José Luis</namePart>
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<abstract displayLabel="Summary">In this paper we study a premium calculation principie applied to life insurance based on a coherent risk measure called Proportional Hazard Transform. This is based on a probability distortion by means of Wang's distortion power function (Wang S. (1995)). We will  see how this theoretically supports the practical useof implicit loadings in life insurance ratemaking. Either life insurance contracts
with death coverage or life annuities are considered as exemplifications</abstract>
<note type="statement of responsibility">Montserrat Hernández, Cristina Lozano, José Luis Vilar</note>
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<topic>Seguro de vida</topic>
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<topic>Tarificación</topic>
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<topic>Evaluación de riesgos</topic>
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<topic>Matemática del seguro</topic>
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<title>Anales del Instituto de Actuarios Españoles : Colegio Profesional</title>
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<publisher>Madrid : Instituto de Actuarios Españoles, 1943-</publisher>
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<identifier type="local">MAP20070000012</identifier>
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<text>09/12/2013 Número 19 Epoca 3ª época - 2013 , p. 85-100</text>
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