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Stratégie optimale de réduction de l'intervalle de confiance pour l'estimateur de la prime ajustée. Application en assurance automobile

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Author Info

  • Kmar Fersi

    ()
    (Computational Mathematics Laboratory Faculté des Sciences de Monastir - Faculté des Sciences de Monastir)

  • Kamel Boukhetala

    ()
    (Faculté des Mathématiques - Université des Sciences et de la Technologie Houari Boumediène)

  • Samir Ben Ammou

    (Computational Mathematics Laboratory Faculté des Sciences de Monastir - Faculté des Sciences de Monastir)

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    Abstract

    The estimator of the adjusted premium developed by Necir and Boukhetala (2004) is considered. The problem of reducing the variance of this estimator is formulated as an optimization program with nonlinear stochastic constraints. An hybrid genetic algorithm is used for finding global optimal solutions, statistically explicable. An application to automobile insurance is developed.

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    File URL: http://hal.archives-ouvertes.fr/docs/00/67/42/43/PDF/RisqueExtreme.pdf
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    Bibliographic Info

    Paper provided by HAL in its series Working Papers with number hal-00625684.

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    Date of creation: 22 Sep 2011
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    Handle: RePEc:hal:wpaper:hal-00625684

    Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00625684
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    Web page: http://hal.archives-ouvertes.fr/

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