Hostname: page-component-848d4c4894-sjtt6 Total loading time: 0 Render date: 2024-06-22T17:28:54.975Z Has data issue: false hasContentIssue false
  • English
  • Français

On the Optimal Pricing of a Heterogeneous Portfolio

Published online by Cambridge University Press:  17 April 2015

Gennady I. Falin
Gennady I. Falin*
Affiliation:
Department of Probability, Mechanics and Mathematics Faculty, Moscow State University, Moscow 119992, Russian Federation, Tel.: +7 495 939 14 03, E-mail: gennadi_falin@mtu-net.ru
Rights & Permissions [Opens in a new window]

Abstract

Core share and HTML view are not available for this content. However, as you have access to this content, a full PDF is available via the ‘Save PDF’ action button.

We apply simple geometrical arguments to show that well-known approaches to determine the premium in insurance contract minimize a weighted squared differences both between the individual premiums and the individual claims and between the total premiums for classes of homogeneous risks and total claims from these blocks of business.

Keywords

Individual risk modelpremiumoptimality
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 38 , Issue 1 , May 2008 , pp. 161 - 170
Copyright
Copyright © ASTIN Bulletin 2008

References

Halmos, P.R. (1974) Finite-Dimensional Vector Spaces. Springer.CrossRefGoogle Scholar
Zaks, Y., Frostig, E. and Levikson, B. (2006) Optimal pricing of a heterogeneous portfolio for a given risk level. ASTIN Bulletin 36(1), 161–185.CrossRefGoogle Scholar