Centro de Documentación de Fundación MAPFRE - The Theory of optimal stochastic control as applied to insurance underwriting cycles

MAP20170004684

The Theory of optimal stochastic control as applied to insurance underwriting cycles / David L. Eckles, David G. McCarthy, Xudong Zeng

Sumario: We use the theories of optimal stochastic control and engineering process control to analyze the well-known phenomenon of insurance underwriting cycles in continuous time. We show in a continuous time framework that underwriting cycles can be explained with a model where premiums are set rationally, but where there are various reporting and regulatory lags. We find that the observed cycle length depends on the length of these underlying lags. Our result can be seen as consistent with previous empirical work showing underwriting cycles varying across countries and lines of insurance. In the event that no lags exist, our result is also consistent with more recent literature suggesting that insurance cycles may not exist

En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 30/12/2016 Tomo 20 Número 4 - 2016 , p. 327-340

1. Matemática del seguro . 2. Provisiones técnicas . 3. Modelo estocástico . 4. Cálculo de provisiones técnicas . I. McCarthy, David G. . II. Zeng, Xudong . III. Título.