Insurance Models Under Incomplete Information

被引：0
|
作者：
Bulinskaya, Ekaterina [1 ]
Gusak, Julia [1 ]
机构：
[1] Lomonosov Moscow State Univ, Moscow, Russia
来源：
STATISTICS AND SIMULATION, IWS 8 2015 | 2018年 / 231卷
关键词：
Incomplete information; Periodic-review insurance model; Reinsurance; Capital injections; Optimization; Stability; STRATEGIES;
D O I：
10.1007/978-3-319-76035-3_12
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
The aim of the chapter is optimization of insurance company performance under incomplete information. To this end, we consider the periodic-review model with capital injections and reinsurance studied by the authors in their previous paper for the case of known claim distribution. We investigate the stability of the one-step and multi-step model in terms of the Kantorovich metric. These results are used for obtaining almost optimal policies based on the empirical distributions of underlying processes.
引用
收藏
页码：171 / 185
页数：15
相关论文
共 50 条
  • [1] Cooperation under Incomplete Information: Some Strategic Models
    Forges, Francoise
    REVUE D ECONOMIE POLITIQUE, 2017, 127 (04): : 467 - 493
  • [2] Reliability models of a bridge system structure under incomplete information
    Song, Yue
    Feng, Hai-lin
    Liu, San-yang
    IEEE TRANSACTIONS ON RELIABILITY, 2006, 55 (02) : 162 - 168
  • [3] Coordinating under incomplete information
    Asheim, Geir B.
    Yoo, Seung Han
    REVIEW OF ECONOMIC DESIGN, 2008, 12 (04) : 293 - 313
  • [4] Coordinating under incomplete information
    Geir B. Asheim
    Seung Han Yoo
    Review of Economic Design, 2008, 12 : 293 - 313
  • [5] APPLICATIONS OF STOCHASTIC-PROGRAMMING UNDER INCOMPLETE INFORMATION
    DUPACOVA, J
    JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 1994, 56 (1-2) : 113 - 125
  • [6] Credit Risk Models with Incomplete Information
    Guo, Xin
    Jarrow, Robert A.
    Zeng, Yan
    MATHEMATICS OF OPERATIONS RESEARCH, 2009, 34 (02) : 320 - 332
  • [7] Strategic Investment under Incomplete Information
    Dehghani, Mohammad H.
    B E JOURNAL OF THEORETICAL ECONOMICS, 2018, 18 (02):
  • [8] Behavioral implementation under incomplete information
    Barlo, Mehmet
    Dalkiran, Nuh Ayguen
    JOURNAL OF ECONOMIC THEORY, 2023, 213
  • [9] Representation of constitutions under incomplete information
    Peleg, Bezalel
    Zamir, Shmuel
    ECONOMIC THEORY, 2014, 57 (02) : 279 - 302
  • [10] Patent pricing under incomplete information
    Nie, Pu-yan
    Wen, Hong-xing
    TECHNOLOGY ANALYSIS & STRATEGIC MANAGEMENT, 2024,
12345