Some mathematical aspects of price optimisation

DOI10.1080/03461238.2017.1357654MaRDI QIDQ4583609zbMATH OpenOpenAlexFDO

Authors Gildas Ratovomirija, Maissa Tamraz, Y. Z. Bai, Enkelejd Hashorva

Publication date 31 August 2018

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1605.05814

zbMATH Keywords

sequential quadratic programmingoptimal tariffmarket tariffprice optimisationrenewal business

Mathematics Subject Classification ID

Quadratic programming (90C20) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Abstract: Calculation of an optimal tariff is a principal challenge for pricing actuaries. In this contribution we are concerned with the renewal insurance business discussing various mathematical aspects of calculation of an optimal renewal tariff. Our motivation comes from two important actuarial tasks, namely a) construction of an optimal renewal tariff subject to business and technical constraints, and b) determination of an optimal allocation of certain premium loadings. We consider both continuous and discrete optimisation and then present several algorithmic sub-optimal solutions. Additionally, we explore some simulation techniques. Several illustrative examples show both the complexity and the importance of the optimisation approach.

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Cited in

(2)

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• Optimization approaches to multiplicative tariff of rates estimation in non-life insurance

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