Author:
Maria de Lourdes Centeno,João Andrade e Silva
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 of the bootstrap technique with subsampling to reduce it.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Finance,Accounting
Cited by
7 articles.
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