The Bayes estimation of quantile premium in Pareto risk model

WEI Si-yi; ZHANG Yi; WEN Li-min

doi:10.3969/j.issn.1000-5641.2016.04.007

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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 Sciences), 2016, (4): 60-69. doi: 10.3969/j.issn.1000-5641.2016.04.007

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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 Sciences), 2016, (4): 60-69. doi: 10.3969/j.issn.1000-5641.2016.04.007

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The Bayes estimation of quantile premium in Pareto risk model

doi: 10.3969/j.issn.1000-5641.2016.04.007

WEI Si-yi¹,
ZHANG Yi^1,2,
WEN Li-min^{1
,
,}

1.
School of Mathematics and Information Science, Jiangxi Normal University, Nanchang 330022, China;
2.
School of Computer and Information Engineering, Jiangxi Normal University, Nanchang 330022, China

Received Date: 2015-06-24
Publish Date: 2016-07-25

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.
- quantile premium principle Pareto risk model consistency asymptotical normality,

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References(1)

References

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