Sample Dependence of Risk Premia

19 Pages Posted: 28 Nov 2017 Last revised: 2 Nov 2018

See all articles by Erika Gomes-Gonçalves

Erika Gomes-Gonçalves

Independent

Henryk Gzyl

Instituto de Estudios Superiores de Administración (IESA)

Silvia Mayoral

Universidad Carlos III de Madrid

Date Written: November 23, 2017

Abstract

An important problem in the insurance and banking industries is that of pricing risk or premium valuation. When the empirical data is not large, and loss distributions are inferred from the data, a potentially large sample dependence of the premia on the data is to be expected. The maximum entropy based methodologies that allow us to determine densities from empirical data with high precision, provide us with a framework within which to study how the sample dependence is transferred from the data to the premia via the density. It is the aim of this note to extend the analysis begun to examine this issue.

Keywords: Sample dependence of loss distributions, sample dependence of risk premia, maximum entropy

JEL Classification: C02, C650

Suggested Citation

Gomes-Gonçalves, Erika and Gzyl, Henryk and Mayoral, Silvia, Sample Dependence of Risk Premia (November 23, 2017). Available at SSRN: https://ssrn.com/abstract=3076605 or http://dx.doi.org/10.2139/ssrn.3076605

Erika Gomes-Gonçalves (Contact Author)

Independent ( email )

Madrid
madrid
Madrid, Madrid 28014
Spain

HOME PAGE: http://https://erikapat.github.io/

Henryk Gzyl

Instituto de Estudios Superiores de Administración (IESA) ( email )

Ave, Iesa, San Bernardino
Caracas, 1010
Venezuela

HOME PAGE: http://www.iesa.edu.ve

Silvia Mayoral

Universidad Carlos III de Madrid ( email )

C/ Madrid 124,
Getafe, Madrid 28093
Spain

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