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

MAP20130041384

Implicit loadings in life insurance ratemaking and coherent risk measures / Montserrat Hernández, Cristina Lozano, José Luis Vilar

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 exemplifications

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. 85-100

1. Seguro de vida . 2. Tarificación . 3. Evaluación de riesgos . 4. Matemática del seguro . I. Lozano, Cristina . II. Vilar Zanón, José Luis . III. Título.