Mathematical Control Theory and Finance || A Stochastic Demand Model for Optimal Pricing of Non-Life Insurance Policies

092048 (E10) The use of control-theoreti

092048 (E10) The use of control-theoretic ideas for the distribution of bonus in non-life insurance : Martin-Löf A., Presented at the International Workshop on The Interplay between Insurance, Finance and Control, organized by the Mathematical Research Centre at Aarhus University, also supported by the Danish Science Research Council and the Centre for Analytical Finance

📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 87 KB

Let a decision policy ~r correspond to a twodimensional stochastic process {tzlr(t), Lt'}, with 0 < tx~(t) \_< 1 where 1-tx,( 0 denotes the fraction of the incoming claims at time t that is reinsured and L," denotes the total payout of dividend up to time t. When applying policy ~-the reserve of the