Loss Function in Acturial Science and Estimation

Abstract

The non-life insurance pricing consists of establishing a premium or a tariff paid by the insured to the insurance company in exchange for the risk transfer. A key factor in doing that is properly estimating the distribution that the claim and frequency of claim follows. This thesis aim at having a deep knowledge of loss function and their estimation, several concept from Measure Theory, Probability Theory and Statistics were combined in the study of loss function and estimating them is illustrated using insurance data set distributed by the Data Sciences website https://www.kaggle.com. The software R is used to obtained our results.