Applying the proportional hazard premium calculation principle. (English) Zbl 1097.62119

Summary: We discuss the application of the proportional hazard premium calculation principle. In Section 2, we propose a method to calculate the proportional hazard premium of a compound risk when the severity distribution is subexponential. In Section 3, we use the empirical distribution to calculate the premium when the proportional hazard principle is applied, which leads to a systematic underestimation of the premium. After studying the bias of the premium calculated using this nonparametric approach we take advantage of the bootstrap technique with subsampling to reduce it.


62P05 Applications of statistics to actuarial sciences and financial mathematics
62G30 Order statistics; empirical distribution functions
91B30 Risk theory, insurance (MSC2010)
62G09 Nonparametric statistical resampling methods
Full Text: DOI


[1] Proceedings of the Casualty Actuarial Society LXXXV pp 940– (1998)
[2] DOI: 10.2143/AST.26.1.563234
[3] DOI: 10.2143/AST.28.2.519067 · Zbl 1162.91436
[4] An Introduction to the Bootstrap (1993)
[5] Modelling extremal events (1997)
[6] Insurance: Mathematics and Economics 17 pp 43– (1995)
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.