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The Exponential Premium Calculation Principle Revisited

Published online by Cambridge University Press:  29 August 2014

Michel Denuit
Michel Denuit*
Affiliation:
Université Libre de Bruxelles, Bruxelles, Belgium
*
Institut de Statistique et de Recherche Opérationnelle, Université Libre de Bruxelles, Campus de la Plaine, CP 210, B-1050 Bruxelles, Belgium
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Abstract

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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.

Keywords

Premium Calculation PrinciplesMoment Spaces5-Convex OrderingsStochastic Extrema
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 29 , Issue 2 , November 1999 , pp. 215 - 226
Copyright
Copyright © International Actuarial Association 1999

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