Implicit loadings in life insurance ratemaking and coherent risk measure

Anales del Instituto de Actuarios Españoles, 3ª época, 19, 2013/85-100   Implicit loadings in life insurance ratemaking and coherent risk measure Montserrat Hernández Solís, Cristina Lozano Colomer y José Luis Vilar Zanón ABSTRACT In this paper we study a premium calculation principle applied to life insurance based on a coherent risk measure called Proportional Hazard Transform. This is based on a probability distortion by means of Wang’s distortion power function (Wang S. (1995)). ...
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