On optimal credibility premiums in multiperiod insurance

• Autorzy: W. Antoniak , M. Kałuszka
• Języki publikacji: EN

Abstrakty

EN

This paper focuses on the problem of optimal arrangement of a stream of premiums in a multiperiod credibility model. On the basis of a given claim history (screening) and some individual information unknown to the insurance company (signaling), we derive the optimal streams in the case when the coverage period is not necessarily fixed, e.g., because of lapses, renewals, deaths, total losses, etc.

Kategorie tematyczne

• 62P05: Applications to actuarial sciences and financial mathematics
• 97M30: Financial and insurance mathematics
• 62C10: Bayesian problems; characterization of Bayes procedures
• 91B30: Risk theory, insurance

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2014
• Tom: 41
• Numer: 1
• Strony: 33-42

Daty

wydano

2014

Twórcy

autor

W. Antoniak

• Warsaw School of Economics, Collegium of Economic Analysis, Aleja Niepodległości 162, Warszawa, Poland

autor

M. Kałuszka

• Institute of Mathematics, Technical University of Łódź, Wólczańska 215, 90-005 Łódź, Poland

Identyfikatory

DOI

10.4064/am41-1-3