In this paper we tackle the issue of analysing the mean value and variance of the retrospective premium, premium adopted by insurance companies and characterised by a random component. In particular, we study the role of the rating parameters. The case of a loss distribution approximated by a translated gamma distribution enables us to highlight some new analytical aspects.
On retrospective premium in insurance: the expected value and variance
Ferretti, Paola
2022-01-01
Abstract
In this paper we tackle the issue of analysing the mean value and variance of the retrospective premium, premium adopted by insurance companies and characterised by a random component. In particular, we study the role of the rating parameters. The case of a loss distribution approximated by a translated gamma distribution enables us to highlight some new analytical aspects.
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