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
Abstract
<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...
Subjects
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
Related Organizations
Powered by OpenAIRE Research Graph
Any information missing or wrong?Report an Issue