RICING INSURANCE IN ORDER TO MINIMIZING THE EXPECTED LOSS IN WEALTH VIA OPTIMAL CONTROL

Автор(и)

  • Sara Dadras
  • Mahmoud Mahmoudi

DOI:

https://doi.org/10.32461/2226-3209.1.2018.178778

Анотація

Abstract. In this paper we are interested in Pricing insurance in order to minimizing the expected loss in
wealth via optimal control. The objective is to find the policy which maximizes the total wealth in company insurances. For this purpose, First, a dynamic model is introduced to describe the process of receiving premium and paying claims. Then, we introduce the premium variable as the problem control variable. Next, we define an appropriate objective function for the control variable and state variables in order to reduce expected losses and increase the wealth. In the end, one of the main variables is estimated by statistical methods and we solve the optimal control problem by PMP method and finally, numerical example are presented.
Keywords: Optimal control, Premium, Dynamical systems, expected loss, Optimization.

Посилання

G.C. Taylor, Underwriting strategy in a competitive insurance environment, Insurance: Mathematics and Economics

(1) (1986) 59–77.

P. Emms, S. Haberman, Pricing general insurance using optimal control theory, Astin Bulletin 35 (2) - 427– 453,

Paul Emms, Pricing general insurance in a reactive and competitive market,Elsevier,2011.

P. Emms, Pricing general insurance with constraints, Insurance: Mathematics and Economics 40 (2007) 335–355.

P. Emms, S. Haberman, Optimal management of an insurer’s exposure in a competitive general insurance market,

North American Actuarial Journal13 (1) (2009) 77–105.

R.C. Merton, Optimum consumption and portfolio rules in a continuous time model, Journal of Economic Theory 3

(1971) 373–413.

T. Rolski, H. Schmidli, V. Schmidt, J. Teugels, Stochastic Processes for Insurance and Finance, Wiley, 1999.

##submission.downloads##

Номер

Розділ

Мистецтвознавство