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A note on weighted premium calculation principles

Author

Listed:
  • Kaluszka, M.
  • Laeven, R.J.A.
  • Okolewski, A.

Abstract

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.

Suggested Citation

  • Kaluszka, M. & Laeven, R.J.A. & Okolewski, A., 2012. "A note on weighted premium calculation principles," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 379-381.
    • Handle: RePEc:eee:insuma:v:51:y:2012:i:2:p:379-381
    DOI: 10.1016/j.insmatheco.2012.06.006
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    References listed on IDEAS

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