IDEAS home Printed from https://ideas.repec.org/a/taf/sactxx/v2002y2002i4p225-245.html
   My bibliography  Save this article

Optimal Dynamic Premium Control in Non-life Insurance. Maximizing Dividend Pay-outs

Author

Listed:
  • Bjarne Højgaard

Abstract

In this paper we consider the problem of finding optimal dynamic premium policies in non-life insurance. The reserve of a company is modeled using the classical Cramér-Lundberg model with premium rates calculated via the expected value principle. The company controls dynamically the relative safety loading with the possibility of gaining or loosing customers. It distributes dividends according to a 'barrier strategy' and the objective of the company is to find an optimal premium policy and dividend barrier maximizing the expected total, discounted pay-out of dividends. In the case of exponential claim size distributions optimal controls are found on closed form, while for general claim size distributions a numerical scheme for approximations of the optimal control is derived. Based on the idea of De Vylder going back to the 1970s, the paper also investigates the possibilities of approximating the optimal control in the general case by using the closed form solution of an approximating problem with exponential claim size distributions.

Suggested Citation

  • Bjarne Højgaard, 2002. "Optimal Dynamic Premium Control in Non-life Insurance. Maximizing Dividend Pay-outs," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2002(4), pages 225-245.
    • Handle: RePEc:taf:sactxx:v:2002:y:2002:i:4:p:225-245
    DOI: 10.1080/03461230110106291
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/03461230110106291
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/03461230110106291?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:sactxx:v:2002:y:2002:i:4:p:225-245. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/sact .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.