A note on weighted premium calculation principles

A prominent problem in actuarial science is to determine premium calculation principles that satisfy certain criteria. Goovaerts et al. [Goovaerts, M. J., De Vylder, F., Haezendonck, J., 1984. Insurance Premiums: Theory and Applications. North-Holland, Amsterdam, p. 84] establish an optimality-type characterization of the Esscher premium principle, but unfortunately their result is not true. In this note we propose a modified statement of this result.

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Year of publication:	2012
Authors:	Kaluszka, M. ; Laeven, R.J.A. ; Okolewski, A.
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 51.2012, 2, p. 379-381
Publisher:	Elsevier
Subject:	Esscher’s premium \| Weighted premium principles \| Insurance risk

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011046597