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Actuarial Premium Principles

Marc J. Goovaerts, Jan Dhaene, Omar Rachedi

Abstract

Abstract An actuarial premium principle is a method for assigning an appropriate price for an insurance policy. Different classes of premium calculation principles emerge from different axiomatic settings. Several premium principles are presented, with an emphasis on the theories of choice under risk underlying them. Two approaches for deriving premium principles are provided: the first is based on Bühlmann's economic principle, while the second is based on a generalized Markov inequality.

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Key concepts: Axiom, Mathematical economics, Risk premium, Economics, Actuarial science, Econometrics, Insurance premium, Mathematics