Centro de Documentación de Fundación MAPFRE - Implicit loadings in life insurance ratemaking and coherent risk measures

Notas: Sumario: 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 exemplificationsRegistros relacionados: En: Anales del Instituto de Actuarios Españoles : Colegio Profesional. - Madrid : Instituto de Actuarios Españoles, 1943-. - 09/12/2013 Número 19 Epoca 3ª época - 2013 , p. 85-100Materia / lugar / evento: Seguro de vida Tarificación Evaluación de riesgos Matemática del seguro Otros autores: Lozano, Cristina
Vilar Zanón, José Luis
Otras clasificaciones: 6

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