Pricing general insurance with constraints

DOI10.1016/j.insmatheco.2006.05.004zbMath1141.91504OpenAlexW2003342838MaRDI QIDQ995515

Paul Emms

Publication date: 3 September 2007

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/2305/1/173-ARP.pdf

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Optimal stochastic control (93E20)

Related Items

POTENTIAL GAMES WITH AGGREGATION IN NON-COOPERATIVE GENERAL INSURANCE MARKETS, Robust reinsurance contracts in continuous time, Reinsurance contract design when the insurer is ambiguity-averse, Noncooperative dynamic games for general insurance markets, Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model, Optimal decision on dynamic insurance price and investment portfolio of an insurer, Pricing general insurance in a reactive and competitive market, Equilibrium Pricing of General Insurance Policies, Designing and pricing menus of extended warranty contracts, Optimal Management of an Insurer’s Exposure in a Competitive General Insurance Market

Cites Work

• Underwriting strategy in a competitive insurance environment
• An SQP method for general nonlinear programs using only equality constrained subproblems
• A new technique for inconsistent QP problems in the SQP method
• Dynamic Pricing of General Insurance in a Competitive Market
• Pricing General Insurance Using Optimal Control Theory
• Utility Functions
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