Show simple item record

dc.contributor.authorBrouste, Alexandre
dc.contributor.authorMatoussi, Anis
dc.contributor.authorRohmer, Tom
dc.contributor.authorDutang, Christophe
dc.contributor.authorDésert, Vanessa
dc.contributor.authorGales, Erwan
dc.contributor.authorGolhen, Pierre
dc.contributor.authorMilleville, Bérengère
dc.contributor.authorLekeufack, Willie
dc.date.accessioned2019-03-18T14:49:21Z
dc.date.available2019-03-18T14:49:21Z
dc.date.issued2018
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/18538
dc.language.isoenen
dc.subjectcommercial linesen
dc.subjectnon-life insuranceen
dc.subjectpricingen
dc.subjectcomposite distributionen
dc.subjectsolvency criterionen
dc.subject.ddc515en
dc.titleSolvency tuned premium for a composite loss distributionen
dc.typeDocument de travail / Working paper
dc.description.abstractenA parametric framework is proposed to model both attritional and atypical claims for insurance pricing. This model relies on a classical Generalized Linear Model for attritional claims and a non-standard Generalized Pareto distribution regression model for atypical claims. Maximum likelihood estimators (closed-form for the Generalized Linear Model part and computed with Iterated Weighted Least Square procedure for the Generalized Pareto distribution regression part) are proposed to calibrate the model. Two premium principles (expected value principle and standard deviation principle) are computed on a real data set of fire warranty of a corporate line-of-business. In our methodology, the tuning of the safety loading in the two premium principles is performed to meet a solvency constraint so that the premium caps a high-level quantile of the aggregate annual claim distribution over a reference portfolio.en
dc.publisher.nameCahier de recherche CEREMADE, Université Paris-Dauphineen
dc.publisher.cityParisen
dc.identifier.citationpages17en
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-01883508en
dc.subject.ddclabelAnalyseen
dc.identifier.citationdate2018-09
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2019-03-18T14:36:25Z
hal.person.labIds90071
hal.person.labIds90071
hal.person.labIds90071
hal.person.labIds60
hal.person.labIds90071
hal.person.labIds
hal.person.labIds
hal.person.labIds
hal.person.labIds


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record