Overview (Re)insurance premium calculation Net premium principle Wang's premium principle applied to excess-of-loss reinsurance setting Extreme value statistics Motivation Extreme value theory (first order framework) Estimating reinsurance premiums Finite sample behavior Simulated data (Fréchet, Burr) Reinsurance premiums (net premium, dual-power transform) X non-negative random variable denoti...

A premium principle is an economic decison rule used by the insurer in order to determine the amount of the net premium for each risk in his portfolio. In this paper we investigate the problem of determining the premium principle to be used. First, we discuss some desirable properties of a premium principle. We prove that the only premium principles that possess these properties belong to a cla...

We propose a model for the aggregate stock market together with its dividend yield and earnings yield so that the ex-ante risk premium could be extracted in an unobserved component modelling framework. We posit the model as a linked stochastic differential equation system and the linking variable is the ex-ante risk premium. By hypothesising a realistic dynamic structure for the ex-ante risk pr...

The purpose of this paper is to assess the risk premium a fractional financial lognormal (Black-Scholes or BS) process relative to a non-fractional and complete financial pricing model. While fractional Brownian BS models based on the Duncan and Wicks calculus were shown to define a no arbitrage financial model, this paper claim is that this martingale need not be the pricing martingale. There ...

This paper examines the combined effect of asymmetric information and private entrepreneurial risk aversion on investment decisions. The standard optimal debt contract becomes modified by the introduction of insurance and a risk premium that entrepreneurs demand due to the uncertainty of their investment returns: the private equity premium. In general equilibrium, the private equity premium may...

In this study, we investigate the geopolitical risk premium in commodity futures market. By estimating exposure of cross-sectional excess returns on a historical index, find that commodities with low-risk betas generate 9.05% higher annual risk-adjusted than those high-risk betas. The results indicate low-geopolitical-risk-related contracts require extra compensation by risk-averse investors du...

With reference to risk adjusted premium principle, in this paper we study excess of loss reinsurance with reinstatements in the case in which the aggregate claims are generated by a discrete distribution. In particular, we focus our study on conditions ensuring feasibility of the initial premium, for example with reference to the limit on the payment of each claim. Comonotonic exchangeability s...