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Title: Accounting for severity of risk when pricing insurance products
Author: Alemany Leira, Ramon
Bolancé Losilla, Catalina
Guillén, Montserrat
Keywords: Risc (Assegurances)
Gestió del risc
Previsió dels negocis
Estadística matemàtica
Estadística no paramètrica
Risk (Insurance)
Risk management
Business forecasting
Mathematical statistics
Nonparametric statistics
Issue Date: 2014
Publisher: Universitat de Barcelona. Riskcenter
Series/Report no: [WP E-RC14/05]
Abstract: We design a system for improving the calculation of the price to be charged for an insurance product. Standard pricing techniques generally take into account the expected severity of potential losses. However, the severity of a loss can be extremely high and the risk of a severe loss is not homogeneous for all policy holders. We argue that risk loadings should be based on risk evaluations that avoid too many model assumptions. We apply a nonparametric method and illustrate our contribution with a real problem in the area of motor insurance.
Note: Reproducció del document publicat a:
It is part of: UB Riskcenter Working Paper Series, 2014/05
Appears in Collections:UB RISKCENTER – Working Papers Series

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