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Accounting for severity of risk when pricing insurance products
Alemany Leira, Ramon; Bolancé Losilla, Catalina; Guillén, Montserrat
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.
Risc (Assegurances)
Gestió del risc
Previsió dels negocis
Estadística matemàtica
Estadística no paramètrica
Risk (Insurance)
Risk management
Business forecasting
Mathematical statistics
Nonparametric statistics
cc-by-nc-nd, (c) Alemany et al., 2014
Documento de trabajo
Universitat de Barcelona. Riskcenter

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