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

Author

Listed:
  • Kmar Fersi

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

  • Kamel Boukhetala

    () (Faculté des Mathématiques - USTHB - Université des Sciences et de la Technologie Houari Boumediene [Alger])

  • Samir Ben Ammou

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

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.

Suggested Citation

  • Kmar Fersi & Kamel Boukhetala & Samir Ben Ammou, 2011. "Stratégie optimale de réduction de l'intervalle de confiance pour l'estimateur de la prime ajustée. Application en assurance automobile," Working Papers hal-00625684, HAL.
  • Handle: RePEc:hal:wpaper:hal-00625684
    Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00625684v2
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