Optimal Pricing of a Heterogeneous Portfolio for a Given Risk Level

DOI10.2143/AST.36.1.2014148zbMath1162.91390OpenAlexW4237440382MaRDI QIDQ3632866

Yaniv Zaks, Benny Levikson, Esther Frostig

Publication date: 15 June 2009

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

Full work available at URL: https://doi.org/10.2143/ast.36.1.2014148

Mathematics Subject Classification ID

Related Items (18)

An impossibility theorem on capital allocation ⋮ Optimization Approaches to Multiplicative Tariff of Rates Estimation in Non-Life Insurance ⋮ The optimal asset and liability portfolio for a financial institution with multiple lines of businesses ⋮ Optimal pricing for a heterogeneous portfolio for a given risk factor and convex distance measure ⋮ Optimal premium pricing for a heterogeneous portfolio of insurance risks ⋮ Stochastic comparisons of capital allocations with applications ⋮ Holistic principle for risk aggregation and capital allocation ⋮ Probabilistic solutions for a class of deterministic optimal allocation problems ⋮ Optimal capital allocation for individual risk model using a mean-variance principle ⋮ On a robust risk measurement approach for capital determination errors minimization ⋮ On an optimization problem related to static super-replicating strategies ⋮ On the robust stability of pricing models for non-life insurance products ⋮ Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure ⋮ Determining and Allocating Diversification Benefits for a Portfolio of Risks ⋮ Optimal capital allocation based on the tail mean-variance model ⋮ Optimal capital allocation in a hierarchical corporate structure ⋮ Ruin probabilities and optimal capital allocation for heterogeneous life annuity portfolios ⋮ Pricing a Heterogeneous Portfolio Based on a Demand Function

Cites Work

• Pricing insurance contracts -- an economic viewpoint

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