Insurance Premiums and Default Risk in Mutual Insurance

Charles Tapiero, Yehuda Kahane, Laurent Jacque

Research output: Contribution to journalArticle

Abstract

Two types of default risk are discussed in the article: The traditional “probability of ruin” (insurer being unable to meet his obligations) and a “perceived probability of ruin” (the probability of the insured being affected by ruin). The explicit relationship between these probabilities on the actuarial loading factors of a mutual insurer were developed. The explicit mathematical formulae obtained for these complex relationships were followed also by numerical results. A second concept presented in the paper is related to the idea of actuarially fair premiums. It is shown that the premium must also be a function of the payments of the other insured as well as their claim distributions, reflecting thereby the simultaneity and mutual dependence of the insured.

Original languageEnglish (US)
Pages (from-to)82-97
Number of pages16
JournalScandinavian Actuarial Journal
Volume1986
Issue number2
DOIs
StatePublished - Apr 1 1986

Fingerprint

Default Risk
Probability of Ruin
Insurance
Simultaneity
Numerical Results
Relationships
Probability of ruin
Insurance premium
Mutual insurance
Default risk
Insurer
Premium
Concepts
Factor loadings
Obligation
Payment
Ruin

ASJC Scopus subject areas

  • Statistics, Probability and Uncertainty
  • Economics and Econometrics
  • Statistics and Probability

Cite this

Insurance Premiums and Default Risk in Mutual Insurance. / Tapiero, Charles; Kahane, Yehuda; Jacque, Laurent.

In: Scandinavian Actuarial Journal, Vol. 1986, No. 2, 01.04.1986, p. 82-97.

Research output: Contribution to journalArticle

Tapiero, Charles ; Kahane, Yehuda ; Jacque, Laurent. / Insurance Premiums and Default Risk in Mutual Insurance. In: Scandinavian Actuarial Journal. 1986 ; Vol. 1986, No. 2. pp. 82-97.
@article{aedb5111577a4409b2077fbefb85c817,
title = "Insurance Premiums and Default Risk in Mutual Insurance",
abstract = "Two types of default risk are discussed in the article: The traditional “probability of ruin” (insurer being unable to meet his obligations) and a “perceived probability of ruin” (the probability of the insured being affected by ruin). The explicit relationship between these probabilities on the actuarial loading factors of a mutual insurer were developed. The explicit mathematical formulae obtained for these complex relationships were followed also by numerical results. A second concept presented in the paper is related to the idea of actuarially fair premiums. It is shown that the premium must also be a function of the payments of the other insured as well as their claim distributions, reflecting thereby the simultaneity and mutual dependence of the insured.",
author = "Charles Tapiero and Yehuda Kahane and Laurent Jacque",
year = "1986",
month = "4",
day = "1",
doi = "10.1080/03461238.1986.10413796",
language = "English (US)",
volume = "1986",
pages = "82--97",
journal = "Scandinavian Actuarial Journal",
issn = "0346-1238",
publisher = "Taylor and Francis Ltd.",
number = "2",

}

TY - JOUR

T1 - Insurance Premiums and Default Risk in Mutual Insurance

AU - Tapiero, Charles

AU - Kahane, Yehuda

AU - Jacque, Laurent

PY - 1986/4/1

Y1 - 1986/4/1

N2 - Two types of default risk are discussed in the article: The traditional “probability of ruin” (insurer being unable to meet his obligations) and a “perceived probability of ruin” (the probability of the insured being affected by ruin). The explicit relationship between these probabilities on the actuarial loading factors of a mutual insurer were developed. The explicit mathematical formulae obtained for these complex relationships were followed also by numerical results. A second concept presented in the paper is related to the idea of actuarially fair premiums. It is shown that the premium must also be a function of the payments of the other insured as well as their claim distributions, reflecting thereby the simultaneity and mutual dependence of the insured.

AB - Two types of default risk are discussed in the article: The traditional “probability of ruin” (insurer being unable to meet his obligations) and a “perceived probability of ruin” (the probability of the insured being affected by ruin). The explicit relationship between these probabilities on the actuarial loading factors of a mutual insurer were developed. The explicit mathematical formulae obtained for these complex relationships were followed also by numerical results. A second concept presented in the paper is related to the idea of actuarially fair premiums. It is shown that the premium must also be a function of the payments of the other insured as well as their claim distributions, reflecting thereby the simultaneity and mutual dependence of the insured.

UR - http://www.scopus.com/inward/record.url?scp=84946260469&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84946260469&partnerID=8YFLogxK

U2 - 10.1080/03461238.1986.10413796

DO - 10.1080/03461238.1986.10413796

M3 - Article

AN - SCOPUS:84946260469

VL - 1986

SP - 82

EP - 97

JO - Scandinavian Actuarial Journal

JF - Scandinavian Actuarial Journal

SN - 0346-1238

IS - 2

ER -