Replication Code and Data for "Tail-Sensitive Insurance Pricing: An Economic Extension of the Esscher Principle"

This dataset contains the replication code and processed data for the paper "Tail-Sensitive Insurance Pricing: An Economic Extension of the Esscher Principle" by Wen Limin and Li Dongyan. The package includes: (1) R scripts for data preprocessing and empirical analysis; (2) a processed dataset (data_ex.xlsx) used in the study; (3) instructions for reproducing all tables and figures reported in the paper. The processed dataset is derived from the publicly available dataset: Guillen, Montserrat; Bolancé, Catalina; Frees, Edward W.; Valdez, Emiliano A. (2021), "Insurance data for homeowners and motor insurance customers monitored over five years", Mendeley Data, V1, doi: 10.17632/vfchtm5y7j.1. The original data are publicly available without access restrictions. The provided scripts (data_preparation.R) generate the analysis dataset from the raw data. All results in the paper can be fully replicated by following the instructions in the README file.