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Document Details : Title: Premium Calculation Subtitle: Why Standard Deviation Should be Replaced by Absolute Deviation Author(s): DENNEBERG, Dieter Journal: ASTIN Bulletin Volume: 20 Issue: 2 Date: November 1990 Pages: 181-190 DOI: 10.2143/AST.20.2.2005441 Abstract : Average absolute (instead of quadratic) deviation from median (instead of expectation) is better suited to determine the safety loading for insurance premiums than standard deviation: The corresponding premium functionals behave additive under the practically relevant risk sharing schemes between first insurer and reinsurer. |
