Portfolio size as function of the premium: modelling and optimization

DOI10.1080/17442508.2013.797426zbMath1292.91088OpenAlexW2168359831MaRDI QIDQ5410796

Bent Jesper Christensen, Michael I. Taksar, Soren Asmussen

Publication date: 17 April 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2013.797426

zbMATH Keywords

certainty equivalentdiffusion approximationadverse selectionLambert \(W\) functionCramér-Lundberg modelinverse gamma distribution

Mathematics Subject Classification ID

Related Items (7)

Open-loop equilibrium mean-variance reinsurance, new business and investment strategies with constraints ⋮ Optimal control of investment, premium and deductible for a non-life insurance company ⋮ Nash equilibrium premium strategies for push-pull competition in a frictional non-life insurance market ⋮ Optimal investment and premium control in a nonlinear diffusion model ⋮ On some effects of dependencies on an insurer's risk exposure, probability of ruin, and optimal premium loading ⋮ Optimal investment and reinsurance with premium control ⋮ Michael I. Taksar

Cites Work

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• Optimal non-proportional reinsurance control
• On the Lambert \(w\) function
• A course in credibility theory and its applications
• Actuarial Modelling of Claim Counts
• Optimal Dynamic Premium Control in Non-life Insurance. Maximizing Dividend Pay-outs
• Risk Aversion in the Small and in the Large

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