Optimal Premium Pricing for a Heterogeneous Portfolio of Insurance Risks
Abstrak
The paper revisits the classical problem of premium rating within a heterogeneous portfolio of insurance risks using a continuous stochastic control framework. The portfolio is divided into several classes where each class interacts with the others. The risks are modelled dynamically by the means of a Brownian motion. This dynamic approach is also transferred to the design of the premium process. The premium is not constant but equals the drift of the Brownian motion plus a controlled percentage of the respective volatility. The optimal controller for the premium is obtained using advanced optimization techniques, and it is finally shown that the respective pricing strategy follows a more balanced development compared with the traditional premium approaches.
Topik & Kata Kunci
Penulis (3)
Athanasios A. Pantelous
Nicholas E. Frangos
Alexandros A. Zimbidis
Akses Cepat
- Tahun Terbit
- 2009
- Sumber Database
- DOAJ
- DOI
- 10.1155/2009/451856
- Akses
- Open Access ✓