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An Adaptive premium policy with a Bayesian motivation in the classical risk model

Recurso electrónico / electronic resource
Registro MARC
Tag12Valor
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040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
100  ‎$0‎MAPA20110031114‎$a‎Landriault, D.
24513‎$a‎An Adaptive premium policy with a Bayesian motivation in the classical risk model‎$c‎D. Landriault, C. Lemieux, G.E. Willmot
520  ‎$a‎In this paper, we consider an extension of the classical risk model in which the premium rate policy is adaptive to claim experience. We assume that the premium rate is reviewed each time the surplus reaches a new descending ladder height. A choice between a finite number m of rates is then made depending on the time elapsed between successive ladder heights. We derive explicit expressions for the probability of ruin in this model, assuming claim sizes have a mixed Erlang distribution. We then motivate further the idea behind this adaptive premium rate policy by using a mixed Poisson process for the claim arrival, and propose a method to fix the parameters of the policy in this setting. Finally, we discuss other applications of this method.
650 1‎$0‎MAPA20080581886‎$a‎Primas de seguros
650 1‎$0‎MAPA20080588953‎$a‎Análisis de riesgos
650 1‎$0‎MAPA20080586348‎$a‎Métodos de cálculo
650 1‎$0‎MAPA20100065242‎$a‎Teorema de Bayes
650 1‎$0‎MAPA20080591953‎$a‎Métodos actuariales
7001 ‎$0‎MAPA20120023550‎$a‎Lemieux, C.
700  ‎$0‎MAPA20100022399‎$a‎Willmot, G.E.
7730 ‎$w‎MAP20077100574‎$t‎Insurance : mathematics and economics‎$d‎Oxford : Elsevier, 1990-‎$x‎0167-6687‎$g‎03/09/2012 Volumen 51 Número 2 - septiembre 2012 , p. 370-378