Deme, El Hadji; Girard, Stéphane; Guillou, Armelle - In: Insurance: Mathematics and Economics 52 (2013) 3, pp. 550-559
Many different premium principles have been proposed in the literature. In this paper, we focus on the Proportional Hazard Premium. Its asymptotic normality has been established in the literature under suitable conditions which are not fulfilled in the case of heavy-tailed distributions. We thus...