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The exponential premium calculation principle revisited

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Denuit, Michel [UCL]

In this paper, it is shown how to approximate theoretical premium calculation principles in order to make them useful in practice. The method relies on stochastic extrema in moment spaces and is illustrated with the aid of the exponential principle.

Document type Article de périodique (Journal article)
Publication date 1999
Language Anglais
Journal information "Astin Bulletin : the journal of the International Actuarial Association" - Vol. 29, no. 2, p. 215-226 (1999)
Peer reviewed yes
Publisher Peeters Publishers ((Belgium) Leuven)
issn 0515-0361
e-issn 1783-1350
Publication status Publié
Affiliation UCL - EUEN/STAT - Institut de statistique
Links
  1. Insurance: Mathematics and Economics (1999)
  2. Insurance: Mathematics and Economics, 20, 20 (1997)
  3. Mathematical Inequalities and Their Applications, 1, 1 (1998)
  4. Advanced Risk Theory. A Self-Contained Introduction (1996)
  5. Insurance Premiums: Theory and Applications (1984)
  6. Effective Actuarial Methods (1990)
  7. Hürlimann Werner, Improved Analytical Bounds for Some Risk Quantities, 10.2143/ast.26.2.563218
  8. Insurance: Mathematics and Economics, 17, 17 (1995)
  9. Ordering of Actuarial Risks (1994)
  10. Management Sciences, 38, 38 (1992)
  11. Convex Functions (1973)
  12. Stochastic Orders and their Applications (1994)
  13. ASTIN Bulletin, 28, 28 (1998)
  14. ASTIN Bulletin, 26, 26 (1996)
  15. Scandinavian Actuarial Journal, 143 (1998)
Bibliographic reference Denuit, Michel. The exponential premium calculation principle revisited. In: Astin Bulletin : the journal of the International Actuarial Association, Vol. 29, no. 2, p. 215-226 (1999)
Permanent URL http://hdl.handle.net/2078.1/95050