A note on weighted premium calculation principles

M. Kaluszka, Roger Laeven and A. Okolewski

Insurance: Mathematics and Economics, 2012, vol. 51, issue 2, 379-381

Abstract: A prominent problem in actuarial science is to determine premium calculation principles that satisfy certain criteria. Goovaerts et al. [Goovaerts, M. J., De Vylder, F., Haezendonck, J., 1984. Insurance Premiums: Theory and Applications. North-Holland, Amsterdam, p. 84] establish an optimality-type characterization of the Esscher premium principle, but unfortunately their result is not true. In this note we propose a modified statement of this result.

Keywords: Esscher’s premium; Weighted premium principles; Insurance risk (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S016766871200073X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

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:379-381

DOI: 10.1016/j.insmatheco.2012.06.006

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
Bibliographic data for series maintained by Catherine Liu ().