Calculating premium principles from the mode of a unimodal weighted distribution

被引：0
|
作者：
Psarrakos, Georgios [1 ]
机构：
[1] Univ Piraeus, Dept Stat & Insurance Sci, Piraeus, Greece
来源：
ASTIN BULLETIN-THE JOURNAL OF THE INTERNATIONAL ACTUARIAL ASSOCIATION | 2024年 / 54卷 / 03期
关键词：
Weighted premium calculation principle; exponential premium; Esscher premium; Kamps premium; stochastic ordering; mode ordering; weighted distribution; unimodal distribution;
D O I：
10.1017/asb.2024.18
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The theory of utility is a well-known method of constructing insurance premiums (see e.g., Newton et al. (1986) Actuarial Mathematics. Itasca, Illinois: The Society of Actuaries.). Furman and Zitikis ((2008) Insurance: Mathematics and Economics, 42, 459-465.) proposed an alternative method using the mean value of a weighted random variable. According to this approach, for various choices of weighting, popular premiums such as net premium, modified variance premium, Esscher premium, and Kamps premium are obtained. On the other hand, some premiums cannot be obtained with this method, such as the premium of the exponential principle. In this paper, we provide a complementary theory by introducing a family of unimodal weighted distributions for which the mode is a premium principle.
引用
收藏
页码：791 / 803
页数：13
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