On Optimal Strategies to Deal with Extreme Regimes in Insurance

We study a risk model where the insurer's profit at a finite time horizon τ 1 can be controlled by making a change of premium at an optimally chosen time τ < τ 1 . In the fluid approximation limit, this probabilistic control problem converges in probability to a deterministic problem, which...

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Bibliographic Details
Published inQuality technology & quantitative management Vol. 1; no. 1; pp. 163 - 174
Main Authors Aquilina, J., Kelbert, M., Suhov, Y.M.
Format Journal Article
LanguageEnglish
Published Taylor & Francis 01.01.2004
Subjects
Fluid approximation
large deviations
optimal trajectories
premium rate change
risk models
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Summary:We study a risk model where the insurer's profit at a finite time horizon τ 1 can be controlled by making a change of premium at an optimally chosen time τ < τ 1 . In the fluid approximation limit, this probabilistic control problem converges in probability to a deterministic problem, which we solve for specific claim size distributions and a unimodal demand function.
ISSN:1684-3703
1684-3703
DOI:10.1080/16843703.2004.11673070