On the Experience Rating and Optimal Reinsurance

Abstract
This paper presents applications of stochastic control theory in determining an insurer’s optimal reinsurance an rating policy. Optimality is defined by means of variances of such variables as underwriting result of the insurer, solvency margins of the insurer and reinsurer and the premiums paid by policyholders. Reinsurance Research - Pricing/Contract Design
Volume
19:2
Page
153-178
Year
1989
Categories
Actuarial Applications and Methodologies
Ratemaking
Experience Rating
Business Areas
Reinsurance
Publications
ASTIN Bulletin
Authors
Jukka Rantala