Optimal streams of premiums in multiperiod credibility models

• Autorzy: L. Gajek , P. Miś , J. Słowińska
• Języki publikacji: EN

Abstrakty

EN

Optimal arrangement of a stream of insurance premiums for a multiperiod insurance policy is considered. In order to satisfy solvency requirements we assume that a weak Axiom of Solvency is satisfied. Then two optimization problems are solved: finding a stream of net premiums that approximates optimally 1) future claims, or 2) "anticipating premiums". It is shown that the resulting optimal streams of premiums enable differentiating between policyholders much more quickly than one-period credibility premiums.

Kategorie tematyczne

• 62P05: Applications to actuarial sciences and financial mathematics
• 62C10: Bayesian problems; characterization of Bayes procedures
• 91B30: Risk theory, insurance

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2007
• Tom: 34
• Numer: 2
• Strony: 223-235

Daty

wydano

2007

Twórcy

autor

L. Gajek

• Institute of Mathematics, Technical University of Łódź, Wólczańska 215, 90-924 Łódź, Poland
• Institute of Applied Mathematics, and Mechanics, Warsaw University, Banacha 2, 02-097 Warszawa, Poland

autor

P. Miś

• Institute of Mathematics, Technical University of Łódź, Wólczańska 215, 90-924 Łódź, Poland

autor

J. Słowińska

• Computer System Section, Department of Computer Science, Faculty of Science, Vrije Universiteit, De Boelelaan 1081, 1081 HV Amsterdam, The Netherlands

Identyfikatory

DOI

10.4064/am34-2-7