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Document Details : Title: Applying the Proportional Hazard Premium Calculation Principle Author(s): DE LOURDES CENTENO, M. , ADRADE E SILVA, J. Journal: ASTIN Bulletin Volume: 35 Issue: 2 Date: November 2005 Pages: 409-425 DOI: 10.2143/AST.35.2.2003460 Abstract : 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 ofthe bootstrap technique with subsampling to reduce it. |
