publication . Other literature type . Article . 2016

Optimal strategies for a non-linear premium-reserve model in a competitive insurance market

Athanasios A. Pantelous; Eudokia Passalidou;
  • Published: 22 Sep 2016
  • Publisher: Cambridge University Press (CUP)
  • Country: United Kingdom
<jats:title>Abstract</jats:title><jats:p>The calculation of a fair premium is always a challenging topic in the real-world insurance applications. In this paper, a non-linear premium-reserve (P-R) model is presented and the premium is derived by minimising a quadratic performance criterion. The reserve is a stochastic equation, which includes an additive random non-linear function of the state, premium and not necessarily Gaussian noise, which is, however, independently distributed in time, provided only that the mean value and the covariance of the random function is 0 and a quadratic function of the state, premium and other parameters, respectively. In this qu...
arXiv: Statistics::ApplicationsMathematics::Optimization and Control
free text keywords: Economics, Microeconomics, Econometrics, Quadratic function, Stochastic control, Covariance, Inflation, media_common.quotation_subject, media_common, Linear model, Random function, Present value, Covariance function
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