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Hernández-Solís, Montserrat
Lozano Colomer, Cristina
Vilar Zanón, José Luis
Year of Publication: 
[Journal:] Atlantic Review of Economics [ISSN:] 2174-3835 [Volume:] 1 [Year:] 2013
Abstract (Translated): 
The goal of this research is to obtain a premium calculation principle, for the life business, based on a coherent risk measure, distorted probabilities with the Wang distortion function in the form of power, called 'Proportional Hazards (PH) Transforms'. It justifies the recommendation of Solvency II to increase or decrease, according to the type of insurance chosen, the mortality instantaneous rate and thus get an implicitly surcharged premium to deal deviations of actual claims regarding expected. Whole life insurance has been selected for this research, and the premium risk has been calculated for the four accepted laws of survival, such as the first and second Dormoy, Gomperzt law and Makeham law.
Implicit surcharge
Distortion function
Hazards transform risk
Law of survival
Coherent risk measure
Whole life insurance
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