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On Experience Rating and Optimal Reinsurance

Published online by Cambridge University Press:  07 February 2018

Jukka Rantala
Jukka Rantala*
Affiliation:
The Ministry of Social Affairs and Health Helsinki, Finland
*
Ministry of Social Affairs and Health, P.O. Box 267, SF-00171 Helsinki, Finland.
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Abstract

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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.

Keywords

Optimal reinsurancecontrol theoryKalman filter
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 19 , Issue 2 , November 1989 , pp. 153 - 178
Copyright
Copyright © International Actuarial Association 1989

References

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