IDEAS home Printed from https://ideas.repec.org/a/wly/apsmda/v11y1995i2p181-198.html
   My bibliography  Save this article

Optimal dynamic equilibrium in insurance policies

Author

Listed:
  • Dominique Page
  • Raymond Tremolieres

Abstract

Insurance companies sell contracts of various types each of them having a specific probability of return. Insurers may also own, at the same time, several insurance contracts which evolve through time. In this context, expectation and variance of the free reserves appear as functions of the number of customers in different classes as well as their evolution. Assuming that the customer system can be formulated as an open Markov one characterized by free entry, it is interesting to seek the optimal new customer distribution over the different customer classes j, which permits the minimization of the variance of free reserves for a desired average level of free reserves at a given time horizon. It is shown that, under some conditions, the customer system converges to an optimal growth steady state.

Suggested Citation

  • Dominique Page & Raymond Tremolieres, 1995. "Optimal dynamic equilibrium in insurance policies," Applied Stochastic Models and Data Analysis, John Wiley & Sons, vol. 11(2), pages 181-198, June.
  • Handle: RePEc:wly:apsmda:v:11:y:1995:i:2:p:181-198
    DOI: 10.1002/asm.3150110208
    as

    Download full text from publisher

    File URL: https://doi.org/10.1002/asm.3150110208
    Download Restriction: no

    File URL: https://libkey.io/10.1002/asm.3150110208?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
    ---><---

    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:wly:apsmda:v:11:y:1995:i:2:p:181-198. 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: Wiley Content Delivery (email available below). General contact details of provider: https://doi.org/10.1002/(ISSN)1099-0747 .

    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.