ISSN: 0137-3056


Punkty MNiSW:

13



Redaktor naczelny:
prof. dr hab. Tomasz Żylicz
tzylicz@wne.uw.edu.pl

Sekretarz redakcji:
Marta Höffner
ekonomia@wne.uw.edu.pl
(48) 22 55 49 184

Wydawca:



The Top-Down Approach to Calculation of the Insurance Premium

W. Otto

ABSTRAKT: When the risk loading for the whole portfolio is set proportionally to the standard deviation, then the problem of coherent pricing of individual risks arises. Borch (1962), proposed a solution based on Shapley's value of the n-person game. However, the solution is suited only for small n, rather reflecting the game played by few companies that negotiate pooling their portfolios. Otto (2004) proposed an intuitively appealing approximation for the case of large n that leads to allocation of the risk loading proportionaly to variances. The paper is devoted to formally justify that the variance principle can be justified as an approximation to the Shapley’s solution.

Pełny tekst (PDF)


Numer wydania: 20

W numerze:

Introduction and Overview
A. Cieślik
ABSTRAKT | PDF
The Single Mindedness Theory Micro-foundation and Application to Labor Market
E. Canegrati
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Impact of international trade on employment in Polish industrial sector
G. Grotkowska
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Stylized Facts of Macroeconomics: the Polish Experience
K. Rosiak-Lada
ABSTRAKT | PDF
The Effect of Wealth on Consumption Expenditures: Cross Country and Cross Socio-Demographic Group Comparisons
E. Sierminska, Y. Takhtamanova
ABSTRAKT | PDF
The Top-Down Approach to Calculation of the Insurance Premium
W. Otto
ABSTRAKT | PDF
Balassa-Samuelson Effect in Poland: Is Real Convergence a Threat to Nominal One?
L. Wincenciak
ABSTRAKT | PDF
Foreign Aid Ethic Division
M. Hulej
ABSTRAKT | PDF
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