Some mathematical aspects of price optimisation

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State: Public
Version: author
Serval ID
serval:BIB_454B43A43A12
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Some mathematical aspects of price optimisation
Journal
Scandinavian Actuarial Journal
Author(s)
Hashorva E., Ratovomirija G., Tamraz M., Bai Y.
ISSN
0346-1238
1651-2030
Publication state
Published
Issued date
28/05/2018
Peer-reviewed
Oui
Volume
2018
Number
5
Pages
379-403
Language
english
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.
Keywords
Statistics, Probability and Uncertainty, Economics and Econometrics, Statistics and Probability, Statistics, Probability and Uncertainty, Economics and Econometrics, Statistics and Probability
Create date
17/07/2017 22:16
Last modification date
20/08/2019 14:50
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