Optimal premium pricing policy in a competitive insurance market environment
Optimal premium pricing policy in a competitive insurance market environment
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DOI：
10.1017/s1748499512000152
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发表时间：
2011-09
影响因子：
1.7
通讯作者：
A. Pantelous;Eudokia Passalidou
中科院分区：
文献类型：
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作者：
A. Pantelous;Eudokia Passalidou
摘要本文提出了一种基于动态规划的随机离散时间框架的保险公司在竞争环境下的最优保费定价策略模型。在我们的方法中，业务量与过去一年的经验有关，市场的平均溢价，公司的溢价是一个控制函数和线性随机扰动，已经被考虑。因此，为了在有限时间范围内最大化财富的总期望线性贴现效用，最优溢价策略被解析地和内生地定义。最后，考虑两种不同的市场平均保费策略，推导出预期业务量下降时的最优保费策略，并对其进行了全面研究。利用希腊汽车保险业的数据对本文的结果进行了进一步的评价。
Abstract In this paper, we propose a model for the optimal premium pricing policy of an insurance company into a competitive environment using Dynamic Programming into a stochastic, discrete-time framework when the company is expected to drop part of the market. In our approach, the volume of business which is related to the past year experience, the average premium of the market, the company's premium which is a control function and a linear stochastic disturbance, have been considered. Consequently, maximizing the total expected linear discounted utility of the wealth over a finite time horizon, the optimal premium strategy is defined analytically and endogenously. Finally, considering two different strategies for the average premium of the market, the optimal premium policy for a company with an expected decreasing volume of business is derived and fully investigated. The results of this paper are further evaluated by using data from the Greek Automobile Insurance Industry.