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Maximization of sensitivity of the PH-premium for families of Pareto distributed risks. (English. Russian original) Zbl 1304.91114
Mosc. Univ. Math. Bull. 65, No. 4, 161-165 (2010); translation from Vest. Mosk. Univ. Mat. Mekh. 65, No. 4, 28-33 (2010).
Summary: S. Wang’s premium principle [Insur. Math. Econ. 17, No. 1, 43–54 (1995; Zbl 0837.62088)] in the actuarial theory is studied. Taking the Pareto distribution as an example, it is shown that Wang’s principle can be used for ordering risks. The absolute sensitivity of premium is calculated for different parameters and its maximization is obtained.
91B30 Risk theory, insurance (MSC2010)
62P05 Applications of statistics to actuarial sciences and financial mathematics
Full Text: DOI
[1] S. S. Wang, ”Insurance Pricing and Increased Limits Ratemaking by Proportional Hazards Transforms,” Insurance: Mathematics and Economics 17, 43 (1995). · Zbl 0837.62088 · doi:10.1016/0167-6687(95)00010-P
[2] S. S. Wang, ”Premium Calculation by Transforming the Layer Premium Density,” Astin Bulletin 26, 71 (1996). · doi:10.2143/AST.26.1.563234
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[7] Xian-Yi Wu, ”The Natural Sets of Wang’s Premium Principle,” Astin Bulletin 31(1), 139 (2001). · Zbl 1035.62110 · doi:10.2143/AST.31.1.998
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