Some mathematical aspects of price optimisation

Calculation of an optimal tariff is a principal challenge for pricing actuaries. In this contribution we are concerned with the renewal insurance business discussing various mathematical aspects of calculation of an optimal renewal tariff. Our motivation comes from two important actuarial tasks, nam...

Full description

Saved in:
Bibliographic Details
Published inScandinavian actuarial journal Vol. 2018; no. 5; pp. 379 - 403
Main Authors Hashorva, Enkelejd, Ratovomirija, Gildas, Tamraz, Maissa, Bai, Yizhou
Format Journal Article
LanguageEnglish
Published Stockholm Taylor & Francis Ltd 28.05.2018
Subjects
Actuarial science
Actuaries
Economic models
Insurance companies
Tariffs
Online AccessGet full text
ISSN0346-1238
1651-2030
DOI10.1080/03461238.2017.1357654

Cover

More Information
Summary:Calculation of an optimal tariff is a principal challenge for pricing actuaries. In this contribution we are concerned with the renewal insurance business discussing various mathematical aspects of calculation of an optimal renewal tariff. Our motivation comes from two important actuarial tasks, namely (a) construction of an optimal renewal tariff subject to business and technical constraints, and (b) determination of an optimal allocation of certain premium loadings. We consider both continuous and discrete optimisation and then present several algorithmic suboptimal solutions. Additionally, we explore some simulation techniques. Several illustrative examples show both the complexity and the importance of the optimisation approach.
Bibliography:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 14
ISSN:0346-1238
1651-2030
DOI:10.1080/03461238.2017.1357654