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**Insurance pricing and increased limits ratemaking by proportional hazards transforms.**
*(English)*
Zbl 0837.62088

Summary: This paper proposes a new premium principle, where risk loadings are imposed by a proportional decrease in the hazard rates. This premium principle is scale invariant and additive for layers. It is shown that this principle will generate stop-loss contracts as optimal reinsurance arrangements in a competitive market when the reinsurer is less risk- averse than the direct insurer. Finally, increased limits factors are calculated based on this principle.

### MSC:

62P05 | Applications of statistics to actuarial sciences and financial mathematics |

### Keywords:

proportional hazards transform; new premium principle; stop-loss contracts; optimal reinsurance arrangements; risk-averse; increased limits factors
Full Text:
DOI

### References:

[1] | Freifelder, L.R., (), Distributed by Irwin Inc., Homewood, IL. |

[2] | Goovaerts, M.J.; de Vylder, F.; Haezendonck, J., () |

[3] | Hogg, R.; Klugman, S., () |

[4] | Kaas, R.; van Heerwaarden, A.E.; Goovaerts, M.J., () |

[5] | Meyers, G.G., The competitive market equilibrium risk load formula for increased limits ratemaking, (), 163-200 |

[6] | Ramsay, C.M., Loading Gross premiums for risk without using utility theory, Transactions of the society of actuaries, Vol. XLV, 305-349, (1994) |

[7] | Robbin, I., Discussion of meyers’ paper — the competitive market equilibrium risk load formula for increased limits ratemaking, (), 367-384 |

[8] | Sundt, B.; Jewell, W.S., Further results on recursive evaluation of compound distributions, ASTIN bulletin, 12, 27-39, (1981) |

[9] | van Heerwaarden, A.E.; Kaas, R., The Dutch premium principle, Insurance: mathematics and economics, 11, 129-133, (1992) · Zbl 0781.62163 |

[10] | Venter, G.G., Premium calculation implications of reinsurance without arbitrage, ASTIN bulletin, 21, 223-230, (1991) |

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