The Bayes estimation of quantile premium in Pareto risk model

doi:10.3969/j.issn.1000-5641.2016.04.007

Abstract

Abstract:

Quantile premium principle is one of the important premium principles in non-life insurance actuarial science, which is widely used in insurance practice. The Pareto risk model for quantile premium principle was established by introducing a class of loss function, and using some statistical techniques, and some estimates of risk premium including Bayes premium, Bayes estimate, maximum likelihood estimation and quantile estimation under the quantile premium principle were given. Furthermore, the statistical properties of these estimations were discussed. Finally, the mean error of these estimations were compared by using numerical simulation method.

Key words: quantile premium principle, Pareto risk model, consistency, asymptotical normality

WEI Si-yi, ZHANG Yi, WEN Li-min. The Bayes estimation of quantile premium in Pareto risk model[J]. Journal of East China Normal University(Natural Sc, doi: 10.3969/j.issn.1000-5641.2016.04.007.

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