Optimal streams of premiums in multiperiod credibility models

L. Gajek, P. Miś, and J. Słowińska. "Optimal streams of premiums in multiperiod credibility models." Applicationes Mathematicae 34.2 (2007): 223-235. <http://eudml.org/doc/279591>.

@article{L2007,
abstract = {Optimal arrangement of a stream of insurance premiums for a multiperiod insurance policy is considered. In order to satisfy solvency requirements we assume that a weak Axiom of Solvency is satisfied. Then two optimization problems are solved: finding a stream of net premiums that approximates optimally 1) future claims, or 2) "anticipating premiums". It is shown that the resulting optimal streams of premiums enable differentiating between policyholders much more quickly than one-period credibility premiums.},
author = {L. Gajek, P. Miś, J. Słowińska},
journal = {Applicationes Mathematicae},
keywords = {multiperiod credibility theory; optimal streams of premiums; progressive solvency requirements; risk profile},
language = {eng},
number = {2},
pages = {223-235},
title = {Optimal streams of premiums in multiperiod credibility models},
url = {http://eudml.org/doc/279591},
volume = {34},
year = {2007},
}

TY - JOUR
AU - L. Gajek
AU - P. Miś
AU - J. Słowińska
TI - Optimal streams of premiums in multiperiod credibility models
JO - Applicationes Mathematicae
PY - 2007
VL - 34
IS - 2
SP - 223
EP - 235
AB - Optimal arrangement of a stream of insurance premiums for a multiperiod insurance policy is considered. In order to satisfy solvency requirements we assume that a weak Axiom of Solvency is satisfied. Then two optimization problems are solved: finding a stream of net premiums that approximates optimally 1) future claims, or 2) "anticipating premiums". It is shown that the resulting optimal streams of premiums enable differentiating between policyholders much more quickly than one-period credibility premiums.
LA - eng
KW - multiperiod credibility theory; optimal streams of premiums; progressive solvency requirements; risk profile
UR - http://eudml.org/doc/279591
ER -