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Optimal streams of premiums in multiperiod credibility models

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Gajek L., Miś P., Słowińska J.

Applicationes Mathematicae

2007

tom 34

nr 2

223-235

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.

Ograniczanie wyników

1 Applicationes Mathematicae

1 Gajek L.

1 Miś P.

1 Słowińska J.

1 2007

Wyniki wyszukiwania

Optimal streams of premiums in multiperiod credibility models