Wang’s Proportional Hazard Transform
presentations
pricing
insurance
Early description and exploration of the exciting (then) new Wang transform to my colleagues at CNA Re. Includes a list of desirable properties of premium calculation principles:
- Positive loading: risk loading is always positive
- No rip-off: risk loaded premium is less than the maximum loss
- Sub-additive: risk loaded premium for two risks can be no more than the sum of the risk loaded premiums for each separately
- Additive in layers: layering a risk should not change the total risk loaded premium
- Preserve riskiness: a more “risky” exposure should receive a greater risk loading
- Simple and practical
Embarrassing lack of references to any specific Wang papers!