Optimal strategies for pricing general insurance

Book English OPEN
Emms, P.; Haberman, S.; Savoulli, I.;
  • Publisher: Faculty of Actuarial Science & Insurance, City University London
  • Subject: HG

Optimal premium pricing policies in a competitive insurance environment are investigated using approximation methods and simulation of sample paths. The market average premium is modelled as a diffusion process, with the premium as the control function and the maximizat... View more
  • References (10)

    Brigo, D., & Mercurio, F. 2001. Interest Rate Models: Theory and Practice. Springer-Verlag.

    Cummins, J. D., & Outreville, J. F. 1987. An International Analysis of Underwriting Cycles in Property-Liability Insurance. Journal of Risk and Insurance, 54, 246-262.

    Daykin, C. D., Pentika¨inen, T., & Pesonen, M. 1994. Practical Risk Theory for Actuaries. Chapman and Hall.

    Emms, P., & Haberman, S. 2005. Pricing general insurance using optimal control theory. Astin Bulletin, 35(2), 427-453.

    Hull, J. C. 1993. Options, Futures and Other Derivative Securities. Prentice-Hall, Inc.

    Kloeden, P. E., & Platen, E. 1999. Numerical Solution of Stochastic Differential Equations. Berlin: Springer-Verlag.

    Press, W. H., Teukolsky, S. A., Vetterling, W. T., & Flannery, B. P. 2002. Numerical Recipes in C++. Second edn. Cambridge University Press.

    Sethi, S. P., & Thompson, G. L. 2000. Optimal Control Theory. 2nd edn. Kluwer Academic Publishers.

    Taylor, G. C. 1986. Underwriting strategy in a competitive insurance environment. Insurance: Mathematics and Economics, 5(1), 59-77.

    Taylor, G. C. 1987. Expenses and underwriting strategy in competition. Insurance: Mathematics and Economics, 6, 275-287.

  • Metrics
    No metrics available
Share - Bookmark