Some mathematical aspects of price optimisation

Détails

Ressource 1Télécharger: R.Propt_RenV6.pdf (722.21 [Ko])
Etat: Serval
Version: de l'auteur
ID Serval
serval:BIB_454B43A43A12
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
Some mathematical aspects of price optimisation
Périodique
Scandinavian Actuarial Journal
Auteur(s)
Hashorva E., Ratovomirija G., Tamraz M., Bai Y.
ISSN
0346-1238
1651-2030
Statut éditorial
Publié
Date de publication
28/05/2018
Peer-reviewed
Oui
Volume
2018
Numéro
5
Pages
379-403
Langue
anglais
Résumé
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.
Mots-clé
Statistics, Probability and Uncertainty, Economics and Econometrics, Statistics and Probability, Statistics, Probability and Uncertainty, Economics and Econometrics, Statistics and Probability
Création de la notice
17/07/2017 22:16
Dernière modification de la notice
20/04/2018 6:13
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