Asymptotic Normality of Nonparametric Estimate for Zero-Utility Premiums

被引：0
|
作者：
Li-min Wen
Xiao-hong Zhuang
Guo-ping Mei
Yi Zhang
机构：
[1] Jiangxi Normal University,Department of Statistics
[2] Shangrao Normal University,Department of Economics and Business Management
[3] Jiangxi University of Finance and Economics,School of Statistics
来源：
Acta Mathematicae Applicatae Sinica, English Series | 2019年 / 35卷
关键词：
zero-utility premiums; nonparametric estimation; consistency; asymptotic normality; 58F15; 58F17; 53C35;
D O I：
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中图分类号：
学科分类号：
摘要：
Zero-utility principle is one of the main premium pricing principles, which has been widely used in insurance practice. In this paper, the nonparametric estimation of zero-utility premium is given. In addition, the consistency and asymptotic normality of the estimation are proved. Some special cases including linear, exponential and quadratic utility are discussed. Finally, the Monte Carlo method is used to show the convergence rate of premium estimation. Furthermore, the histogram and Normal-Probability-Plot are given to investigate the asymptotic normality of the estimators. The results show that our estimations are good enough to use in practice.
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页码：607 / 619
页数：12
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