Portfolio size as function of the premium: modelling and optimization

DOI10.1080/17442508.2013.797426MaRDI QIDQ5410796zbMATH OpenOpenAlexFDO

Authors Bent Jesper Christensen, Søren Asmussen, Michael Taksar

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

adverse selectioncertainty equivalentCramér-Lundberg modeldiffusion approximationinverse gamma distributionLambert \(W\) function

Mathematics Subject Classification ID

Stochastic processes (60G99) Portfolio theory (91G10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A course in credibility theory and its applications
• Actuarial Modelling of Claim Counts
• scientific article; zbMATH DE number 5223066 (Why is no real title available?)
• On the Lambert \(w\) function
• Optimal Dynamic Premium Control in Non-life Insurance. Maximizing Dividend Pay-outs
• Optimal non-proportional reinsurance control
• Risk Aversion in the Small and in the Large

Cited in

(12)

• Optimal investment and premium control in a nonlinear diffusion model
• Open-loop equilibrium mean-variance reinsurance, new business and investment strategies with constraints
• Optimal investment and reinsurance with premium control
• Nash equilibrium premium strategies for push-pull competition in a frictional non-life insurance market
• Optimal control of investment, premium and deductible for a non-life insurance company
• Premium liability risks: modeling small claims
• On the Optimal Pricing of a Heterogeneous Portfolio
• scientific article; zbMATH DE number 4147370 (Why is no real title available?)
• scientific article; zbMATH DE number 1523798 (Why is no real title available?)
• Michael I. Taksar
• PREMIUM FORECASTING OF AN INSURANCE COMPANY: AUTOMOBILE INSURANCE
• On some effects of dependencies on an insurer's risk exposure, probability of ruin, and optimal premium loading

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