A Stochastic model of mutual insurance under heterogeneous time preferences

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<title>Stochastic model of mutual insurance under heterogeneous time preferences</title>
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<namePart>Wei Wei</namePart>
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<abstract displayLabel="Summary">This article develops a stochastic control model for mutual insurance companies whose policyholders exhibit heterogeneous or present-biased time preferences. The premium control problem is shown to be time-inconsistent, and the authors adopt an intrapersonal game-theoretic framework to derive a time-consistent equilibrium strategy. The equilibrium policy is characterized by a reserve threshold that determines whether premiums are charged at minimum or maximum rates. Numerical examples illustrate how greater heterogeneity in time preferences leads to lower reserve thresholds. The model provides theoretical insights for premium design in mutual insurers facing diverse policyholder preferences</abstract>
<note type="statement of responsibility">Pengyu Wei, Wei Wei and Charles Yang</note>
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<topic>Control estocástico</topic>
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<topic>Modelos actuariales</topic>
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<topic>Cálculo actuarial</topic>
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<topic>Primas</topic>
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<topic>Mutualidades de seguros</topic>
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<title>North American actuarial journal</title>
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<publisher>Schaumburg : Society of Actuaries, 1997-</publisher>
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<identifier type="issn">1092-0277</identifier>
<identifier type="local">MAP20077000239</identifier>
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<text>16/03/2026 Tomo 30 Número 1 - 2026 , 19 p.</text>
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