Pricing General Insurance Using Optimal Control Theory

DOI10.2143/AST.35.2.2003461zbMath1155.91401MaRDI QIDQ5490601

Paul Emms, Steven Haberman

Publication date: 4 October 2006

Published in: ASTIN Bulletin (Search for Journal in Brave)

zbMATH Keywords

maximum principleBellman equationcompetitive demand modeloptimal premium strategies

Mathematics Subject Classification ID

Related Items (18)

Optimal premium pricing strategies for competitive general insurance markets ⋮ POTENTIAL GAMES WITH AGGREGATION IN NON-COOPERATIVE GENERAL INSURANCE MARKETS ⋮ Optimal strategies for pricing general insurance ⋮ Pricing in a competitive stochastic insurance market ⋮ Robust reinsurance contracts in continuous time ⋮ Applications of Statistics in the Field of General Insurance: An Overview ⋮ Nash equilibrium premium strategies for push-pull competition in a frictional non-life insurance market ⋮ Noncooperative dynamic games for general insurance markets ⋮ Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model ⋮ POISSON MODELS WITH DYNAMIC RANDOM EFFECTS AND NONNEGATIVE CREDIBILITIES PER PERIOD ⋮ Optimal decision on dynamic insurance price and investment portfolio of an insurer ⋮ Pricing general insurance in a reactive and competitive market ⋮ A dynamic pricing game for general insurance market ⋮ The optimal investment, liability and dividends in insurance ⋮ Robust reinsurance contracts with uncertainty about jump risk ⋮ Equilibrium Pricing of General Insurance Policies ⋮ Pricing general insurance with constraints ⋮ Optimal Management of an Insurer’s Exposure in a Competitive General Insurance Market

Cites Work

• Optimal investment for investors with state dependent income, and for insurers
• On Stop-Loss Order and the Distortion Pricing Principle
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