Premium principles based on the mode of unimodal loss distributions

G. Psarrakos

A well-known theory of constructing insurance premiums is the utility theory (see [1]). Furman and Zitikis (2008) proposed an alternative method by using the mean value of a weighted random variable. According to this method, for various choices of weighting, well-known premiums such as the net premium, variance premium, Escher premium and Kamps premium are derived. However, there are some premiums, such as the premium of the exponential principle, that we cannot get with this method. In this talk, motivated by the above discussion, a family of unimodal weighted distributions is introduced. The mode of this family is used in order to obtain a premium principle.

Keywords: premium principles; risk; weighted distributions; insurance

GT14.ORDEN1 Session in honor of Prof. Miguel López Díaz
November 7, 2023  6:40 PM
CC3: Room 1

G. Pigueiras Voces, M. Á. Sordo, A. Castaño Martínez, C. Ramos

J. Navarro Camacho

F. Belzunce, C. Martínez Riquelme