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On Experience Rating and Optimal Reinsurance
Published online by Cambridge University Press: 07 February 2018
Abstract
This paper presents applications of stochastic control theory in determining an insurer's optimal reinsurance and rating policy. Optimality is defined by means of variances of such variables as underwriting result of the insurer, solvency margins of the insurer and reinsurer and the premiums paid by policy-holders.
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- Copyright © International Actuarial Association 1989
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