Centro de Documentacion de Fundación MAPFRE

MAP20260002026

Optimal proportional insurance under claim habit / Jingyi Cao...[et al.]

Sumario: This paper analyzes a two-period optimal insurance problem in which a policyholder with meanvariance preferences purchases proportional insurance, and premiums depend on claim history through a variance-based principle. We derive the time-consistent optimal strategy in closed form and the constant precommitment strategy in semi-closed form. For the general precommitment case, we obtain a semi-explicit second-period solution and a numerical first-period solution. We also compare the three optimal strategies and study how key parameters influence decisions and value functions

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 19/01/2026 Volume 56 Issue 1 - January 2026 , p. 220 - 242

1. Modelos actuariales . 2. Bonus-malus . 3. Análisis de varianza . 4. Procesos estocásticos . 5. Matemática del seguro . 6. Cálculo actuarial . I. Cao, Jingyi . II. International Actuarial Association .