Mathematics

Maximization of sensitivity of the PH-premium for families of Pareto distributed risks

N. A. Irkhina

Lomonosov Moscow State University, Faculty of Mechanics and Mathematics

Abstract: This research is devoted to Wang's premium principle in actuarial theory. By example of Pareto distribution the author notes that Wang's premium principle can be applied to ordering risks. The author calculates and maximizes absolute sensitivity of premium for different parameters.

Key words: premium principle, distortion function, absolute sensitivity of premium.

UDC: 519.21

Received: 23.09.2009

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