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
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