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Pricing general insurance with constraints

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  • Emms, Paul

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  • Emms, Paul, 2007. "Pricing general insurance with constraints," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 335-355, March.
    • Handle: RePEc:eee:insuma:v:40:y:2007:i:2:p:335-355
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    References listed on IDEAS

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    1. P. Spellucci, 1998. "A new technique for inconsistent QP problems in the SQP method," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 47(3), pages 355-400, October.
    2. Taylor, G. C., 1986. "Underwriting strategy in a competitive insurance environment," Insurance: Mathematics and Economics, Elsevier, vol. 5(1), pages 59-77, January.
    3. Emms, Paul & Haberman, Steven, 2005. "Pricing General Insurance Using Optimal Control Theory," ASTIN Bulletin, Cambridge University Press, vol. 35(2), pages 427-453, November.
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    Cited by:

    1. Hong Mao & Zhongkai Wen, 2020. "Optimal Decision on Dynamic Insurance Price and Investment Portfolio of an Insurer with Multi-dimensional Time-Varying Correlation," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(1), pages 29-51, March.
    2. Boonen, Tim J. & Pantelous, Athanasios A. & Wu, Renchao, 2018. "Non-cooperative dynamic games for general insurance markets," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 123-135.
    3. Jan Janku & Ondrej Badura, 2021. "Non-linear Effects of Market Concentration on the Underwriting Profitability of the Non-life Insurance Sector in Europe," Working Papers 2021/9, Czech National Bank.
    4. Mao, Hong & Carson, James M. & Ostaszewski, Krzysztof M. & Wen, Zhongkai, 2013. "Optimal decision on dynamic insurance price and investment portfolio of an insurer," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 359-369.
    5. Hu, Duni & Wang, Hailong, 2019. "Reinsurance contract design when the insurer is ambiguity-averse," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 241-255.

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