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.