IDEAS home Printed from https://ideas.repec.org/p/wuu/wpaper/hsc0405.html
   My bibliography  Save this paper

Pure risk premiums under deductibles. A quantitative management in actuarial practice

Author

Listed:
  • Krzysztof Burnecki
  • Joanna Nowicka-Zagrajek
  • Aleksander Weron

Abstract

It is common practice in most insurance lines for the coverage to be restricted by a deductible. In the paper we investigate the influence of deductibles on pure risk premiums. We derive simple but practical formulae for premiums under franchise, fix amount, proportional, limited proportional and disappearing deductibles in terms of the limited expected value function. Next, we apply the results to typical loss distributions, i.e. lognormal, Pareto, Burr, Weibull and gamma. Finally, we analyse a loss data of one of the power companies. We fit distributions to the data and show how the choice of the distribution and a deductible influences the premium.

Suggested Citation

  • Krzysztof Burnecki & Joanna Nowicka-Zagrajek & Aleksander Weron, 2004. "Pure risk premiums under deductibles. A quantitative management in actuarial practice," HSC Research Reports HSC/04/05, Hugo Steinhaus Center, Wroclaw University of Technology.
    • Handle: RePEc:wuu:wpaper:hsc0405
    as

    Download full text from publisher

    File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_04_05.pdf
    File Function: Draft, 2004
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Julie Thøgersen, 2016. "Optimal Premium as a Function of the Deductible: Customer Analysis and Portfolio Characteristics," Risks, MDPI, vol. 4(4), pages 1-19, November.

    More about this item

    Keywords

    Insurance risk premium; Deductible; Limited expected value function;
    All these keywords.

    JEL classification:

    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wuu:wpaper:hsc0405. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Rafal Weron (email available below). General contact details of provider: https://edirc.repec.org/data/hspwrpl.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.