A note on weighted premium calculation principles

Authors
Publication date 2012
Journal Insurance: Mathematics & Economics
Volume | Issue number 51 | 2
Pages (from-to) 379-381
Organisations
  • Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
  • Faculty of Economics and Business (FEB) - Amsterdam Business School Research Institute (ABS-RI)
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.
Document type Article
Language English
Published at https://doi.org/10.1016/j.insmatheco.2012.06.006
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