NONLIFE INSURANCE PRICING: STATISTICAL MECHANICS VIEWPOINT

Amir H. Darooneh ()
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Amir H. Darooneh: Department of Physics, Zanjan University, P. O. Box 45196-313, Zanjan, Iran

International Journal of Modern Physics C (IJMPC), 2005, vol. 16, issue 01, 167-175

Abstract: We consider the insurance company as a physical system which is immersed in its environment (the financial market). The insurer company interacts with the market by exchanging the money through the payments for loss claims and receiving the premium. Here, in the equilibrium state, we obtain the premium by using the canonical ensemble theory, and compare it with theEsscherprinciple, the well-known formula in actuary for premium calculation. We simulate the case of car insurance for quantitative comparison.

Keywords: Premium calculation; statistical equilibrium; Esscher principle (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1142/S0129183105007005

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