 An adaptive premium policy with a Bayesian motivation in the classical risk modelDavid Landriault, Christiane Lemieux and Gordon E. Willmot Insurance: Mathematics and Economics, 2012, vol. 51, issue 2, 370-378 Abstract: In this paper, we consider an extension of the classical risk model in which the premium rate policy is adaptive to claim experience. We assume that the premium rate is reviewed each time the surplus reaches a new descending ladder height. A choice between a finite number m of rates is then made depending on the time elapsed between successive ladder heights. We derive explicit expressions for the probability of ruin in this model, assuming claim sizes have a mixed Erlang distribution. We then motivate further the idea behind this adaptive premium rate policy by using a mixed Poisson process for the claim arrival, and propose a method to fix the parameters of the policy in this setting. Finally, we discuss other applications of this method. Keywords: Ruin probability; Mixed Erlang; Defective renewal equation; Laplace transform; Erlangization; Mixed Poisson; IM10; IM13; IM30 (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:51:y:2012:i:2:p:370-378 DOI: 10.1016/j.insmatheco.2012.06.001 Access Statistics for this article Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu More articles in Insurance: Mathematics and Economics from Elsevier |
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