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Premium evaluation for different loss distributions using utility theory

Harman Preet Singh Kapoor;  Kanchan Jain — 2011

Discussiones Mathematicae Probability and Statistics

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 m a x ) that an insured is willing to pay can be determined using utility theory. The main focus of this paper is to determine P m a x 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...

A weighted version of Gamma distribution

Kanchan Jain;  Neetu Singla;  Rameshwar D. Gupta — 2014

Discussiones Mathematicae Probability and Statistics

Weighted Gamma (WG), a weighted version of Gamma distribution, is introduced. The hazard function is increasing or upside-down bathtub depending upon the values of the parameters. This distribution can be obtained as a hidden upper truncation model. The expressions for the moment generating function and the moments are given. The non-linear equations for finding maximum likelihood estimators (MLEs) of parameters are provided and MLEs have been computed through simulations and also for a real data...

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