Optimal Pricing of a Heterogeneous Portfolio for a Given Risk Level
Optimal Pricing of a Heterogeneous Portfolio for a Given Risk Level
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DOI：
10.1017/s0515036100014446
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发表时间：
2006-05
期刊：
影响因子：
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通讯作者：
Yaniv Zaks;E. Frostig;B. Levikson
中科院分区：
文献类型：
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作者：
Yaniv Zaks;E. Frostig;B. Levikson
考虑一个包含异质风险的投资组合，其中投保人向保险公司支付的保费可能无法覆盖理赔款项。在保费定价时必须考虑到这种风险。另一方面，被保险人支付的保费必须公平。这种公平性是通过风险与所付保费之间的差距来衡量的。我们应用一个非线性规划公式来为每一类找到最优保费，使得风险低于给定水平，并且风险与保费之间的加权距离最小化。我们也考虑对偶问题：对于风险和保费之间给定的加权距离，使风险水平最小化。
Consider a portfolio containing heterogeneous risks, where the policyholders’ premiums to the insurance company might not cover the claim payments. This risk has to be taken into consideration in the premium pricing. On the other hand, the premium that the insureds pay has to be fair. This fairness is measured by the distance between the risk and the premium paid. We apply a non-linear programming formulation to find the optimal premium for each class so that the risk is below a given level and the weighted distance between the risk and the premium is minimized. We consider also the dual problem: minimizing the risk level for a given weighted distance between risks and premium.