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The Exponential Premium Calculation Principle Revisited

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  • Denuit, Michel

Abstract

In this paper, it is shown how to approximate theoretical premium calculation principles in order to make them useful in practice. The method relies on stochastic extrema in moment spaces and is illustrated with the aid of the exponential principle.

Suggested Citation

  • Denuit, Michel, 1999. "The Exponential Premium Calculation Principle Revisited," ASTIN Bulletin, Cambridge University Press, vol. 29(2), pages 215-226, November.
    • Handle: RePEc:cup:astinb:v:29:y:1999:i:02:p:215-226_01
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    Cited by:

    1. Escudero, Laureano F. & Ortega, Eva-María, 2008. "Actuarial comparisons for aggregate claims with randomly right-truncated claims," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 255-262, October.
    2. Michel Denuit & Claude Lefèvre & Moshe Shaked, 2000. "Stochastic Convexity of the Poisson Mixture Model," Methodology and Computing in Applied Probability, Springer, vol. 2(3), pages 231-254, September.
    3. Claude Lefèvre & Stéphane Loisel & Pierre Montesinos, 2020. "Bounding basis risk using s-convex orders on Beta-unimodal distributions," Working Papers hal-02611208, HAL.
    4. Hurlimann, Werner, 2001. "Distribution-free comparison of pricing principles," Insurance: Mathematics and Economics, Elsevier, vol. 28(3), pages 351-360, June.

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