# Premium evaluation for different loss distributions using utility theory

Harman Preet Singh Kapoor; Kanchan Jain

Discussiones Mathematicae Probability and Statistics (2011)

- Volume: 31, Issue: 1-2, page 41-58
- ISSN: 1509-9423

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topHarman Preet Singh Kapoor, and Kanchan Jain. "Premium evaluation for different loss distributions using utility theory." Discussiones Mathematicae Probability and Statistics 31.1-2 (2011): 41-58. <http://eudml.org/doc/277077>.

@article{HarmanPreetSinghKapoor2011,

abstract = {For any insurance contract to be mutually advantageous to the insurer and the insured, premium setting is an important task for an actuary. The maximum premium ($P_\{max\})$ that an insured is willing to pay can be determined using utility theory. The main focus of this paper is to determine $P_\{max\}$ by considering different forms of the utility function. The loss random variable is assumed to follow different Statistical distributions viz Gamma, Beta, Exponential, Pareto, Weibull, Lognormal and Burr. The theoretical expressions have been derived and the results have also been depicted graphically for some values of distribution parameters.},

author = {Harman Preet Singh Kapoor, Kanchan Jain},

journal = {Discussiones Mathematicae Probability and Statistics},

keywords = {utility function; insurance},

language = {eng},

number = {1-2},

pages = {41-58},

title = {Premium evaluation for different loss distributions using utility theory},

url = {http://eudml.org/doc/277077},

volume = {31},

year = {2011},

}

TY - JOUR

AU - Harman Preet Singh Kapoor

AU - Kanchan Jain

TI - Premium evaluation for different loss distributions using utility theory

JO - Discussiones Mathematicae Probability and Statistics

PY - 2011

VL - 31

IS - 1-2

SP - 41

EP - 58

AB - For any insurance contract to be mutually advantageous to the insurer and the insured, premium setting is an important task for an actuary. The maximum premium ($P_{max})$ that an insured is willing to pay can be determined using utility theory. The main focus of this paper is to determine $P_{max}$ by considering different forms of the utility function. The loss random variable is assumed to follow different Statistical distributions viz Gamma, Beta, Exponential, Pareto, Weibull, Lognormal and Burr. The theoretical expressions have been derived and the results have also been depicted graphically for some values of distribution parameters.

LA - eng

KW - utility function; insurance

UR - http://eudml.org/doc/277077

ER -

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