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image/svg+xml Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao Closed Access logo, derived from PLoS Open Access logo. This version with transparent background. http://commons.wikimedia.org/wiki/File:Closed_Access_logo_transparent.svg Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao
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HKU Scholars Hub
Article . 2010
Data sources: HKU Scholars Hub
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Premium calculation using the probability of ruin

descriptionPublicationkeyboard_double_arrow_right Article 06 Sep 2010 China (People's Republic of) Publisher:Absalom Press, Inc., Lincoln, NE
Authors: Chu, KL; Yuen, KC; Yang, H;

handle: 10722/83035

Premium calculation using the probability of ruin

Abstract

Summary: We introduce a new premium calculation principle called the standard deviation-skewness premium calculation principle. This premium calculation principle, which satisfies most of the desirable properties of premium calculation principles, has two unknown parameters, \(\alpha_1\) and \(\alpha_2\). These parameters are determined by setting ruin probability levels. Specifically, simulations are used to find the values of \(\alpha_1\) and \(\alpha_2\) such that the probability of ruin does not exceed a certain level of acceptance. We also show how this premium calculation principle can be used to allocate premiums among a block of \(m\) types of homogeneous risks.

Country
China (People's Republic of)
Related Organizations
Keywords

risk premium, compound Poisson, Risk theory, insurance, skewness, ruin probability, Statistical methods; economic indices and measures, simulation, risk loading

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
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