Centro de Documentacion de Fundación MAPFRE

Notas: 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 functionsRegistros relacionados: 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 - 242Materia / lugar / evento: Modelos actuariales Bonus-malus Análisis de varianza Procesos estocásticos Matemática del seguro Cálculo actuarial Otros autores: Cao, Jingyi
International Actuarial Association
Outras classificações: 6

‌ Ver detalhe do número

Optimal proportional insurance under claim habit