Optimal decision rule in forming an insurance portfolio

Optimal decision rule in forming an insurance portfolio

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Article ID: iaor20062855
Country: Netherlands
Volume: 34
Issue: 3
Start Page Number: 316
End Page Number: 322
Publication Date: May 2006
Journal: Operations Research Letters
Authors:
Keywords: financial
Abstract:

The paper is devoted to finding an optimal decision rule for accepting/rejecting potential insureds when the demand for the insurance provision is a stochastic variable. A criterion to be maximized is the mean–variance utility function of the insurer. It is shown that the optimal decision rule is a stopping rule with some finite protection level.

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