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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Published in | Quality technology & quantitative management Vol. 1; no. 1; pp. 163 - 174 |
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Main Authors | , , |
Format | Journal Article |
Language | English |
Published |
Taylor & Francis
01.01.2004
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Subjects | |
Online Access | Get full text |
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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 |