Insurance Pricing and Regulation under Uncertainty: A Chance-Constrained Approach
A financial model of the non-life insurer under uncertainty is developed. The model recognizes the stochastic nature of both the insurer's underwriting and investment income. The total risk faced by the insurer, which includes both underwriting and investment risk, is considered. The impact of...
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Published in | The Journal of risk and insurance Vol. 47; no. 4; pp. 607 - 635 |
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Main Authors | , |
Format | Journal Article |
Language | English |
Published |
Malvern
American Risk and Insurance Association
01.12.1980
Blackwell Publishing Ltd |
Subjects | |
Online Access | Get full text |
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Summary: | A financial model of the non-life insurer under uncertainty is developed. The model recognizes the stochastic nature of both the insurer's underwriting and investment income. The total risk faced by the insurer, which includes both underwriting and investment risk, is considered. The impact of regulatory constraints on the insurer's profits also is analyzed. Moreover, the costs of regulation imposed on the insurer are assessed in a non-linear, chance-constrained, programming framework. In general, the model shows that economic tradeoffs must be considered when management or regulatory decisions are made because of the numerous interrelationships among variables in the model and in the real world. |
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ISSN: | 0022-4367 1539-6975 |
DOI: | 10.2307/252287 |