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
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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