Keywords
Recargo implícito, función de distorsión, medida de riesgo coherente, seguro de vida, seguro de rentas, Implicit Loading, Distortion power function, coherent risk measure, survival life insurance (annuities)
La prima de riesgo recargada en un seguro de rentas: tarificación mediante una medida de riesgo coherente
Abstract
En este estudio se obtiene un principio de cálculo de primas, para un seguro de rentas con cobertura de supervivencia ,basada en la medida de riesgo coherente trasformada proporcional de tanto instantáneo( Wang 1995) .Utilizando cuatro leyes de supervivencia primera y segunda ley de Dormoy, Gompertz y Makenham
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)). The survival Dormoy, Gompertz and Makenham law has been taken as a calculation example.
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)). The survival Dormoy, Gompertz and Makenham law has been taken as a calculation example.
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Materias, derechos, colecciones e identificadores
URI / Handle
http://hdl.handle.net/11531/16888Rights
Creative Commons Reconocimiento-NoComercial-SinObraDerivada España