Optimal proportional insurance under claim habit
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20260002026 | ||
| 003 | MAP | ||
| 005 | 20260205101746.0 | ||
| 008 | 260202e20260115bel|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 245 | 0 | 0 | $aOptimal proportional insurance under claim habit$cJingyi Cao...[et al.] |
| 520 | $aThis 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 | ||
| 650 | 4 | $0MAPA20080592011$aModelos actuariales | |
| 650 | 4 | $0MAPA20080557379$aBonus-malus | |
| 650 | 4 | $0MAPA20080594633$aAnálisis de varianza | |
| 650 | 4 | $0MAPA20080603120$aProcesos estocásticos | |
| 650 | 4 | $0MAPA20080602437$aMatemática del seguro | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 700 | 1 | $0MAPA20260001609$aCao, Jingyi | |
| 710 | 2 | $0MAPA20100017661$aInternational Actuarial Association | |
| 773 | 0 | $wMAP20077000420$g19/01/2026 Volume 56 Issue 1 - January 2026 , p. 220 - 242$x0515-0361$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association |