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1 results

  • Applying the Proportional Hazard Premium Calculation Principle

  • Lourdes Centeno Maria de, e Silva João Andrade
  • Journal:
    ASTIN Bulletin: The Journal of the IAA / Volume 35 / Issue 2 / November 2005
    Published online by Cambridge University Press:
    17 April 2015, pp. 409-425
    Print publication:
    November 2005
    • Article
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  • In this paper 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 non-parametric approach we take advantage of the bootstrap technique with subsampling to reduce it.